Brace yourself. His real last name is Gorelick. Kenny Gorelick. Not quite the same ring as Kenny G. So don't blame him for shortening it.
On a side note did you know that he is Adam Levine's older brother. Check out a side by side below and picture Adam with his hair. It's uncanny. I know you agree with me on this. (okay maybe not really brothers at all but nothings impossible)