Well... If Hojo's last name is Hojo, and he and Lucretia (spelling?) had fun and ended up with Sephiroth, wouldn't it stand to reason that his last name would be Hojo? On the other hand Sephiroth Hojo just sounds plain dumb. And if I were related to Hojo trust me I wouldn't be running around using his last name!

I think Sephiroth is just Sephiroth without a last name.
Because he didn't know who is mother was and he certainly didn't go around calling Hojo "daddy", I don't think he knew who his parents were. So I don't think he would have had any last name at all.

Besides Sephiroth is such a weird name, why would he need one?