Loads of theories, my personal favourite is that he just thinks he's better than the rest of his siblings by not having a name (we know they had names before he left because he called out for vanya, Ben and his dad in the apocalypse)

Oh yeah true, they did have names before Five left because also in the flashback where all 7 of the children want to say goodnight and Reginald totally ignores them, their mom called Allison by her name.

I get that, but what's up with "The Boy"?

He is called the boy because of his age regression when he time travels back to stop the apocalypse. Diego is the kraken because he can hold his breath, klaus is the seance because, quite interestingly, in the comics he's telekinetic I think so shit floats, luther and allison is somewhat self explanatory, ben is the monster or the beast or something because of the creature in his chest, and finally, vanya is the white violin because she... turns into a white violin? I'm not sure wtf is going in there but yeah...

I read the comics (Klaus is indeed telekinetic, Ben is the Horror, and Vanya can only channel destruction through playing music). What I don't get is why we keep calling him "The Boy" even though the only one who calls him that is Gerard Way OUT OF UNIVERSE!!!

Michal Gambon said that five was choosing a name when he was 13 and could never pick one. He had some in mind but he never chose one. Then he jumped to the future and still could not think of a name he thought they were all so good. So he kept the name five. When he got back to cilization everyone called him five. He got used to the name and he kept it. Why he is called the boy, i dont know.