Unlike popular opinion, or rather obvious opinion, it's not EJ and LJ Slendy mixes up, despite them sharing the same first name; it's EJ and Jeff whom he mixes up. The former of the two isn't really bothered by it, it's whatever ("well, both our names begin with a J so I guess it's close enough?") Whereas Jeff is constantly irked by it. ("How tf do you get us confused Slendy we don't even have the same name I mean come on he's eyeless and I'm not you manage to remember every single one of those 'child' nicknames so why tf can't you remember our actual names???")
(How did it take me this long to land on this, it's the literal hallmark of parenting. (I mean, let's face it (I'm cute): it's basically Slenderdad and his houseful of wayward killers come on.)