For me Its quite simple. My brain decided it. Literally. The days I found out I'm trans, my brain would do this weird thing, where I could think about completely different stuff and suddenly my now chosen name would "fly" into my mental Field of View, like an asteroid in star wars or so. I told that name a close friend and 4 weeks later when we went to the club together I told him, that I will stick with it, because I didnt had a better idea (and it was the only name I really felt comfortable with).
I was thinking about Satan on my walk and figured that "Lucy" is short for "Lucifer", and then was like "Lucy actually sounds pretty nice..."
I returned home and told about it with my friend (also trans) and she was like "wow so cool!!!!!" so I went with it. That's it :3
And I just thought of random names until I found one I liked. lol