Hmm.... Well this thing is called Keldeo, I see the "kelpie" in it, what about -deo? Rodeo? Oreo? No that doesn't do at all, it doesn't fit quite right.
I'd rather its name came from 'horse' and something referring to how it comes from the water. So... Yes I think something like 'Horsea' would be a good name for this Pokémon.