Iceland has a governmental naming committee [0] that maintains a list of approved names. As I understand, obtaining exceptions has become easier, and in acknowledgement of non-binary people, there are no longer separate male and female name lists. But it's likely that in the time of OP's great-grandfather, he was given a very traditional Icelandic name (at least as his legal name).

0: https://en.wikipedia.org/wiki/Icelandic_Naming_Committee