It is commonplace with British aristocracy and nobility to refer to one another by titles rather than family names. Wellington is by no means the first, last or only. Prince William, whose family name is Windsor, was referred to as Flight Lieutenant Wales in the RAF, because his father, Charles, is Prince of Wales. The great statesman Henry John Temple was known as Palmerston, as he was the Viscount Palmerston. John Manners, who became Duke of Rutland, was known as Lieutenant Granby in his war service, owing to his position as the Marquis of Granby. So titled people in Britain do not give up their surnames but they are generally referred to by title.

I'm on the run at the moment but I can edit with some sources later.