When I was a kid, I always thought that Mike Bossy was French-Canadian because of the way his last name was written and pronounced in the Soviet Union ( with the stress on the last syllable) but he is in fact of Ukrainian origin.
Colaiacovo sounded Finnish to me when I heard it, maybe because it has so many vowels.
With all the history of immigration, you can hardly be surprised by so many non-anglo last names in North America but when Bjork's parents decided to call him Anders and not Andrew, that can throw you off.
Henrik Borgstrom most probably comes from the Aalands finns and there are plenty of Finnish players like that but I still thought of him as Swedish for a while.
My all time favourite name is Hnat Domenicheli. His last name can't be more Italian while his first name is a really old-time classic Ukrainian name and these names appear to have nothing in common when put together. It's like having someone named Hans de la Pena, or like Zbigniew Dubois. Or, Vladimir Guerrero