I've seen people who have been pre-failed at the start of assessment days by interviewers when conducting document checks, and discovering their proof of address title is "Captain" on a utility bill or like....Probably reflects the general sentiment amongst most towards this kind of self importance. Everyone should have the right to be addressed by a name of their choosing, so go for it if it means so much...but don't expect your colleagues not to poke fun at you in your absence.