In this context, I guess it means that the other character finds the other’s name very complicated. In English it would be something like oh, dear.
This post on french.about.com has a good explanation of the meaning of oh là là in other cases
The French phrase oh là là isn’t so much an expression as an interjection. It can indicate surprise, disappointment, commiseration, distress, annoyance… any moderately strong reaction to something that was just said or done. It can be strengthened with additional là‘s, always in pairs.