You didn't know? I guess "Pigmy" would not have made such a great metal solo career moniker. He was still Ronald Padavona on that first Elf album, he only ditched it together with his bass playing (with Craig Gruber coming in) as their career progressed.
Admittedly, "Ronnie James Dio" had a ring and a rhythm to it and in non-Italian speaking countries no one thought it presumptuous of him.