Well, there was no actual Rocky to begin with, but I think I know what you're getting at. 

It's not until the fifth (and least successful) film, 1990's "Rocky V," when we learn that the title character, the classic underdog boxer played by Sylvester Stallone, was in fact born Robert Balboa. 

It happens when a down-on-his-luck Rocky first meets villainous promoter George Washington Duke (played by the great, underrated character actor Richard Gant). Gant pulls up in his ostentatious limo and greets the ex-champ with a bombastic "Mr. Robert 'Rocky' Balboa!" (Bombast is Duke's stock in trade, and he was reportedly based on real-life bombastic boxing promoter Don King). 

"Rocky V" is also the first film that gives any focus at all on Rocky's son, also named Robert and often referred to as Rocky Jr. 

But of course, the name Rocky was almost certainly chosen for its link to a couple of the greatest Italian-American boxers in history, Rocky Marciano and Rocky Graziano. The two were contemporaries, fighting in the late '40s and early '50s but in different weight classes, so they never faced off. 

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