Cole, rather than answering about his name, continues talking about the spirits that Onni's thinking about.

"There might be others here. I don't know. I have nothing they want and I don't reach back across the Veil. I don't like it over there. I don't belong anymore. And yes, I'm Compassion-who-was-Cole-who-was-Mercy. But most people call me Cole."

He gets there eventually. Usually.