Is his last name Sparkle?
Ponies don't really seem to have last names as we understand them. They may have a "family name" of sorts that fits the predominate talent that runs in their blood, such as "Apple Family" for Applejack and her relatives. But I seriously doubt her name is actually "Applejack Apple". However, the family name may often be worked into the name itself.
Even if Twilight's wider family are known as the Sparkles, he wouldn't be known as "Shining Armor Sparkle". He's just "Shining Armor", who comes from the Sparkle Family.