It's never said in game, but there is cut dialog audio in the game files where he introduces himself as Oscar of Astora

It's an unofficial name that was given to him because of cut audio found in the game files where he refers to himself as Oscar of Astora. I'm pretty sure his official name is just "Undead Knight" or "Asylum Knight"

I did it as an act of mercy, as I thought a sword through the face would probably be nicer than dying of his wounds, reflecting on his failure

although I see what you're saying in the first playthrough I did not kill him or the other two that you have however... after the first place through Oscar I killed for two reasons to speed up dialogue and as a "Mercy" and the fair lady to boost Estes because I wasn't going to do that line anyways and Priscilla I have no intention of killing out of malice but regardless souls are souls in my eyes

Bruh kills Fair Lady? What, you're not gonna save Solaire? You're heartless.

I needed the Firekeeper Soul more than I needed her (I didn't rest at the bonfire beforehand and had to go through Blighttown again just so I could reach the Demon Ruins because the warp wasn't activated)

maybe a hollow killed him ?

This happens in any playthrough if you don't kill him upon meeting him. I believe it's implied that he killed himself.

“I’ll die soon, and then i’ll lose my sanity..”