You could probably go further — at most only HR need to know an official name, probably with a note on the file reminding them that it's confidential. That need only be revealed once you're accepting the job offer.

I have recently moved to Denmark, and several public or semi-public database systems have had special attention drawn to how my name might be used, and instructions to avoid certain uses. (For example, there seemed to be a special way to register in a municipality under an assumed name, to avoid stalkers etc.)