The name will be the 'intellectual property' of someone else - probably Steve Coogan, the writer. If he grants permission to use the name of one of HIS characters, that's fine; if he does'n't, you can't.
You can of course try using it without his permission; but if you do, he could sue for a percentage of any profits you make that a Court would attribute to the using of his property, or stop you using the name. Now if you don't get rich and famous it's not much of a problem, but imagine if 'Paul McKenna' (or maybe Elton John) had to stop using their names. The more popular you become the more you would worry, so best to get an agreement from the outset or choose your own stage name. What's wrong with your own name anyway?
P.S. If you come to Scotland, I'd like 5 free tickets for me and four mates:-)