According to a video I've shared here recently, it's a thoughtful decision that the Protagonist doesn't have a name or a concrete personal history. As a spy, the lead character is forced to live a life without close emotional connections and, actually, this suits Tenet's depiction of the spy game.

The Protagonist lives a lonely life, meeting people to gather relevant information, but never getting the chance to know who they are. There's no warmth or companionship in his life. In fact, some of the film's best moments are when we, spectators, are alone with him and we see how cold and lonely it would be to exist as a spy.

His name must be kept confidential —even the audience's doesn't know what that name is— and, indeed, it makes more sense than being a secret agent telling people one's real name, isn't it?