This card's Japanese name is "Raio" (or "Raiou") spelled in Katakana, meaning this card's name is most likely literally Raioh, and not meant to be translated. Rai-Oh literally means "Thunder King" so this is essentially named, "Thunder King Thunder King". "-Oh" can also be translated as "Emperor" or "Ruler".
Alternatively, "Rai-Oh" sounds like the Spanish word "rayo" and the Portuguese word "raio", which translates as "ray", or more befitting, "thunderbolt".
This card's name/appearance seem to be in reference to Susano-o, one of the primary Japanese gods. He is known to be god of storms.
Despite being given away with the second volume of the Yu-Gi-Oh! GX manga, this card first appeared in chapter 20, which was published in volume 3.