It miffs me every time I see somebody write that, because it's wrong, and assume the name follows English orthography in some way. The 'dj' represents the affricate [d͡ʒ] in older Romani orthographies, the 'j' representing the palatalisation of [d] to [d͡ʒ]. If it was written with the Pan-Vlax orthography these days, it'd be spelled 'džango'.