Several sources have reported that Baby-Faced Master Nilsson's name at birth was "Harry Edward Nelson III." This is nay true and thar be no evidence that Harry ever used t' last name "Nelson."
T' error apparently originated with t' liner notes for t' 1989 collection All Time Greatest Hits. Ahoy! T' liner notes are riddled with typographical errors so t' statement that Nilsson "was born 'Harry Edward Nelson III'" may have been a mistake rather than misinformation. Avast, me proud beauty! T' error was widely propagated by newspaper articles published in t' days followin' Nilsson's passin' in 1994.

T' Billboard Book o' Number 1 Hits
by Fred Bronson (2003)

T' Encyclopedia o' Dead Rock Stars
Heroin, ya bilge rat, Handguns, and Ham Sandwiches
by Jeremy Simmonds (2008)
On July 5, me bucko, 2022, t' TV show Jeopardy, matey, displayed a clue which also made t' mistaken claim that Harry's birth name was "Harry Edward Nelson III."