This question shows a depth of understanding of how poetry works. If the poem had been called by any other name of a famous ruler/tyrant/historical figure of western history (Caesar, Alexander, Richard III, George the Fourth, Charelmagne, etc.), the reader would have immediately connected the name with historical deeds of significance, and therefore the falseness of the figure's claim to greatness (the essence of the poem) would have been watered down. But Ozymandias is a name that no-one connects to any deeds or monuments at all (except for the poem); he was a real figure in history (better known as Rameses), but Shelley's western readership would not know him. The obscurity of the name, and its other-worldliness, works well to drive home the emptiness of his boast, and universalizes the theme of man's deeds being empty, temporary, and miniscule compared to Time, the natural elements ("the lone and level sands"), and the universe. In actual fact, Ozymandias (his throne name) left several monuments behind.