His birth name was Cornelius Crane Chase. His grandmother gave him that nickname, Chevy, based upon the medieval English ballad “The Ballad of Chevy Chase”. 🙂
I still prefer Rodney Dangerfield and Don Rickels over any of the SNL crowd except Gilda.
Interestingly enough, the area known as Chevy Chase (which compasses a portion of Northwest D.C. and a portion of Montgomery County Md.) also got its name from that very same ballad; I found out after doing more research. 🙂