So, I might have missed this in the movie, but...

she might like the character thats she plays so thats why she picked it

No clue; I've always wondered that myself. That was the one thing that kept irritating me like a little gnat in my ear the entire movie. I kept mixing Baby Doll and Blondie up.

I've heard however, though I don't know if it's true, that Blondie was named Blondie because the name was ironic. It could possibbly be because it was also slightly ironic that she broke down and spilled the truth, then was shot for that very reason, and the irony is represnted por being called Blondie, yet having dark hair. Basically, it's because Blondie is the image of irony in Sucker Punch.

Hehe, I hope I didn't confuse you, too much.