Is there a canonical reason why Vasher and Vivenna changed their names to Zahel and Azure on Roshar?
Yes, it kind of comes into the fact that Vasher has gone through a bunch of name changes and there are a couple of answers to this. One is, in the Cosmere, like in a lot of like fantasy worlds, names and identity are just a pretty big deal, part of how the magic works is how you view yourself, and I like, in that instance, indicating that time has passed and the character has adopted a new name and things like this, it's just that's a thing.
You've also probably noticed that behind the scenes in the Cosmere there are lots of different groups vying for control and power and things like this, and so going under a pseudonym's actually a pretty good idea. I guess an alias, they're not writing books, it's not pseudonyms, you know what I mean, going under an alias's generally a pretty good idea for just if you don't want attention from the wrong people.
That said, I do have to balance this because, for instance, in Azure's case, you know, I picked something that Vivenna had, you know, blue had been associated with her in the previous book, so it's not a completely, that's partially for the reader's benefit, so it's easier for you to track who is who, just a little bit, and just a little bit easier to figure out who is who.
But if run into someone like Felt, right? Felt doesn't care. He's not hiding from anybody. Felt is, you know, he's more like "I moved from Nebraska to Texas," right? "And now I'm living in Texas." That's more how he views it a little bit. He's not a secret agent (ooh, big spoilers). Felt just, you know, he moved, so he goes by the same name. And that's, you'll see some of that as well. If someone's going by an alias, I'm doing it to indicate one of those two things, usually.