When he first found you, lying unconscious on the hardwood floor of one of the Umbrella Academy's many spare rooms, he'd wanted to rat you out to Reginald and get it over with. But then you woke up.
And somehow, you ended up his first real friend. First best friend.
His other siblings found out about you soon enough, of course- that was to be expected- but he'd managed to threaten most of them into silence, the rest just liked you and decided they wanted you to stay, threat or no threat.
Except Luther, since he was a goody-two-shoes, as Diego called him. It took several death-threats, bribes, and Allison getting herself involved to finally convince Luther not to tell on you. And even he, eventually, grew to somewhat like you.
There was another predicament, as well. One that Five helped you with on the first day.
When you showed up at the academy, you had no idea who you were. Sure, you knew basic human stuff, but sometimes Five was surprised how much simple technology fascinated you. But anyway.
He gave you a nickname, that day. A stupid one, sure, but it still worked for something. And even after he scoured records and files from libraries and police stations, it seemed that you didn't exist. You said that was fine.
And so the two of you made you a name. A good one. Sure, Five still called you the stupid nickname sometimes, but now you had a real name- an alias, an identity, a label. And it fit.