So Russian families who move to America have a choice - either deal with people and systems who assume that married couples, and parents/children all have the same last name and hit roadblocks when that expectation does not match reality, or change one partner's last name to match the other's.
But that second option has problems too, because that name change doesn't retroactively apply in Russia - so now you might have American documents that say you're a Elena Kuznetsov, but your Russian documents say that you're Elena Kuznetsova - so any legal dealings that involve the two countries (like, say, traveling) become significantly more complicated because you need to prove that the two names actually point to the same person.
At least middle names aren't a big issue - patronymics mean something in Russia, but here in America it's just a string you pop into the "middle name" field, and maybe you get asked what it means, and get to teach someone what patronymic means.
(It's a more general question, too, is John Juan when he's in Mexico?)
For the biblical Jesus, the situation is even worse. His name was probably originally יֵשׁוּעַ, and should therefore have been Yeshua to us users of the modern day Latin alphabet. But instead his name was adapted to Greek linguistic conventions as Ἰησοῦς (Iēsoûs), and from there transliterated into Jesus.