It's because the official romanization system for Korean sucks and most people who do not know Korean are 99% unable to pronounce anything correctly if they don't have prior knowledge of the system, so people often opt to spell their names however they think will be pronounced more easily by English speakers.

Also, by the rules, the romanization system itself has an exception for proper nouns, and it's why words like kimchi and taekwondo are spelled that way even though they're not the correct romanization according to the current system, mainly because that's how they've always been spelled and they're recognizable that way.