"Harry wanted very much to ask whether Mr. Crouch had stopped calling Percy "Weatherby" yet, but resisted the temptation." (GF23)
Percy's boss at the Ministry, Mr Crouch, calls him this several times, indicating that Percy's hero-worship evidently hadn't made enough impression for Crouch to remember his subordinate's name. The twins then began using the name (GF7).
The name doesn't really sound like "Weasley", although they both begin with a W and end in a Y. Mr Crouch even refers to "Weatherby" during his mad ravings (GF28). Poor Percy.