Renee Zellweger, William Mapother, Zach Galifianakis are a few. You couldn’t make up names like those, even if you could, why would you use one as a stage name?
One reason many might change their names is that the Screen Actors Guild requires each registered member to have a unique name. That is why Michael J. Fox had to use a middle initial, there was already a Michael Fox registered with SAG. Fun fact: his actual middle initial is A but he decided to go with J as it didn’t sound quite so conceited!