In my headcanon, Celestia and Luna are from pegasi. Then they became alicorns when they are teenagers.
 
Here are my headcanon names for them:
 
Original Names: Celestia - Sunshine Gumdrop  
Luna - Moonlight Showers
 
Full Royalty Names: Celestia - Brillante Celestiana  
Luna - Luz de la Luna
 
This is Cadence’s real mortal name in my headcanon, Ruby Clouds.

Maybe is “Faust”

I always thought it was weird that the have names like Celestia and Luna, while everyone else has names like Twilight Sparkle and Rainbow Dash, so I guess…
 
Celestial Star and Lunar Eclipse

Celestia: Lux Caelestia Aeterna
 
Luna: Nox Pallentia Luna

@Background Pony  
@sapphire475gs
 
Friends, I like the way yous think

luna azul and celestia helena

I don’t think they have a long name, but I like to think that they both have several names due to their long lives and different world places. For example in other lands Celestia is know as Celaeno, Sunna, Amateratsu, Arinna, Sol, etc and Luna as Selene, Artemis, Tsukuyomi, Anumati, etc.  
Luna is the most clear excample with Nightmare moon as one of her last used names.  
but that is just my headcannon, and I’m not gonna discuss about ponies last names.

Luceat Caelestia (Celestial Shine) and Lunaris Umbra (Lunar Umbra).
 
Twilight’s new name will be Diluculum Clareant.

Here is King Sombra’s full royal name: Sombra Rex Tremendae Irae.

Celestial Lux and Noctus Lunacy.

Oscura Luna  
Luminosa Celestia

Shineius Buttii and Darkius Buttii

Luna and Celestia
 
Cadance wasn’t born a royal, remember?

Poopy and Floyd.

Celestia Invictus, Luna Sempermutante. :-P

@Kawa  
agreed. Like the one that the the reason Carrot and Cup both have the last name Cake isnt because their married- its just a commen last name.  
http://sliceofponylife.tumblr.com/image/25054973194

@Kawa
 
Which is silly,in my humble opinion.
 
Like everytime I read a fanfic addressing Twilight’s family as “The Sparkles” or calling Shining Armor “Shining Armor Sparkle” or Raity as “Rarity Belle” ugh,I know is a matter of headcanons and all that but I have found some people that truly get a hold of these while the show always proves them wrong.

@Amber  
Case in point: some fanfics use “Jacqueline Apple” as Applejack’s “proper official name”. Just so she has an Apple surname.
 
And then they call Big Mac “Macintosh Apple”.

@Trickquestion
 
Is not really that confusing as long we keep in mind that Pinkie’s case was nothing more than a comedic reason.I mean her parents probably are going to be named differently while her sisters are going to be named something “Pie” related like her and her grandma.
 
Quoting myself from the other thread because I’m lazy right now,what the show staff have been doing all this time is following the same pattern of pony naming that has been used ever the franchise started: Simple words,usually related to the marks in their flank,the color scheme or personality.
 
They don’t have “last names”.
 
@ClownDicks
 
Also this.

Celery and Lunner

Bob

@CMWaters
 
>Or they just don’t take names like that, and Mr. and Mrs. Cake getting married was just a huge coincidence they had the same last name.
 
Coincidence.
 
 
Like I was explaining in other thread,Ponies use Themed Names (according to Nayuki,that the closet thing we are going to get)to name the members of their families (most of the time).
 
We have “The Apples” who use apple related names,like Granny Smith or Braeburn,but that doesn’t mean they use “Apple” as the surname or that they use surnames at all.

“@CMWaters I will grab my stuff

@MonkeyDzyrax  
>Celestia and Luna banish you TO THE SUN!

dunno if its part of the name or title but fandom uses something along the lines of ‘des equestia’  
others use the Celstia as a Last name.