What did Alanzo change his name to?
I believe you are referring to the main character.
His name, El Licenciado Alonso Quijano de La Mancha, (the attorney Alonso Quixano from La Mancha) changed his name to Don Quijote de La Mancha (Sir Quixote of La Mancha) after becoming so obsessed with chivalry literature that he depleted himself within it, even quitting food and sleep. Quijano (English, Quixano) means "jaw" and it is a mockery of the actual chivalry names that knights would be given in 16th century Spanish literature, which was the point that Cervantes wanted to criticize.
Now, since you wrote an "a" at the end of the name you posted, I will also assume you could have been asking about Aldonza Lorenzo, the woman from the village whom Alonso (now Don Quijote) decided to make his "damisel in distress". She was given the name of Dulcinea del Toboso (Dulcinea, meaning Sweet Princess or close to it, of the town of El Toboso),