I've heard of this happening more than once. What's the proof? More than one family roots searcher has found the unusual name of a great grandparent or other family member they knew nothing about - until they did their research - coming out of the mouth of a child when they go playing with their imaginary playmate.
I think it's time to consider that children aren't just making up their playmates as they go. Rather, I think the child sees or remembers from his or her's time on The Other Side, another soul (maybe from a family or other "soul group") that is serving as a sort of guardian for him or her in youth.