I wouldn't find it unsurprising for them to be called Saints. I mean, bad guys think they're the good guys, right?

Unless they're specifically trying to mess with people and think that's bad and don't care... in which case Saint is a good name for tricking random passerbys.

Of course, if we're looking for a new name, I suppose we could see where Saints got their name from and go from there. Saint comes from the latin word Sanctus. Doing some googling on the latin word for unholy in the sense we're using it returns the words sceleratus and defanatus as the two better choices it seems, as unholy seems to frequently translate into godless and that's clearly not applicable here. (I by no means speak latin, if I'm messing something up feel free to correct me)

From those two I could say...

Scelerate
Defane
Selerate
Defanat

Something along those lines. Defane sounds nicest in my opinion, I could probably see someone being called Defane Brown or Defane John. Selerate Jane also sounds pretty easy to say and functional.