Based on what I've read, I think we've got two possiblities:
1.) We retain Rog as a nickname, and say that his real name was lost to the sands of time, or something else like that. That way, we still keep the name, but make it a nickname, which would be a lot more liberal. That way, an Elf could be nicknamed "Demon" (if we stick with the theory that "-rog" means "demon").
2.) We slap a circumflex on the "o" and turn "Rog" into "Rôg," and a little more Elvish-sounding.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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