[It's definitely okay with him that she asks about his name- it's half her giggling and half the actual question that makes Bucky shake his head and laugh.]
Nah, my Ma's real old-fashioned, she calls me James. [... and his dad isn't around anymore, so no reason to mention that.] But my sisters call me Bucky, I don't let them get away with nothin' else! Especially when they insist I call them with shortened names, too. Fair's fair, y'know?
[When they start heading off, he wonders the exact same thing - what is the proper etiquette when being the acting bodyguard-slash-scavenger hunt partner to a tiny princess? He has no idea at all. He knows what the Elsa he's more familiar with would think, of course... and maybe it's partly that what makes him reach out and take her hand. There, at least now she won't wander off.]
Yeah, sure do. [A great way to distract her from the possible breach of proper etiquette: answer her question with a grin.] There's Merlin, who's real amazin' at all magic, and Emma, you'd like her. And Korra, she can control the elements - but be careful not to call what she does "magic", that ain't what she calls it an' she gets real touchy 'bout it.