I think it was posted months ago (probably even before summer) somewhere in Sons of Sparda. But I'll do a little search now and if I find something I will edit.
EDIT: What I found was not a link but these 2 explanations.
1)Nelo Angelo as we know means Black Angel in some language (Italian?). As you may know Japanese people have a bit of a problem pronouncing L and R correctly. (Those who watched Devil May Cry Anime should have noticed that Lady was called Rady). Therefore the whole thing is just a myth. Nelo Angelo was always Nelo Angelo. The fact that in Japan many called him Nero Angelo is just a matter of accent and nothing more.
2) I also found that most people that say, 'hey I heard that Nelo Angelo, the boss/knight in Devil May Cry 1 was supposed to be called Nero Angelo but capcom changed it for some reason' or 'actually Nelo Angelo's correct name is Nero Angelo, it was just a mistake that was admitted and I remembering reading about it' never actually provide us with a link. I do not need to sound rude to people I don't know (not that they'll see this but whatever
) but this should arise suspicion. I think we should conclude that the whole thing of him having another name was not ever the case for Capcom. As I said in point 1) the Japanese people may have just pronounced him Nero Angelo (of course someone would ask if they confuse it so much then why not call him Nero Angero by mistake? Well don't forget that the word Angel is one of the most common in anime/games etc. The fact that they used an Italian (?) way of pronouncing it shows that they are well accustomed with it, and don't call it Angeru or something similar.
However, wikipedia says some things about that Nero Angelo thing, but can we trust it?