All to do with an obsoete Irish letter which was pronounced somewhere like a yy sound but actually looked quite like a z. As such originally it was pronounced Delyiel but when the letter (known as a yog) was replaced by printers with the nearest thing to it (a z the name became written as Delziel but the pronunciation remained pretty much as it always had been, hence say Delyiel quickly and you have DL.
Sorry don1, don't think there is currently an MP with that name. You are not thinkof Tam Dalyell are you? He was the former Labour MP for Linlithgow, the Father of the House (i.e. the longest serving MP) and he retired at the last General Election.