The character 雪 ("yuki" in kun'yomi), has an alternate reading (on'yomi), "setsu."

Sekki (雪器) is a combination of this alternate reading with the character 器 (ki).

His actual true given name is "Yuki." (Yato's true name is Yaboku, 夜卜, using the kanji 卜 instead of the kana)

His weapon name is "Sekki." (the "tsu" runs into the next consonant, making "Sekki," instead of "Setsuki") The gods all seem to give their weapons names using the alternate readings and the "-ki" suffix (e.g., Sekki, Hanki, Chouki)

The common (nick)name he goes by everyday (e.g. Charlie, instead of Charles), is "Yukine," with "-ne" (音) being the suffix Yato gives to all his Regalias (e.g., Yukine, Tomone). Tenjin-sama uses "-yu" (喩) (e.g., Tsuyu, Mayu, Nayu). Kofuku uses the prefix "dai-" (大) (e.g., daikoku).

In folklore, one's [true name](http://en.wikipedia.org/wiki/True_name) should not be given out easily, as it reveals the person's true nature. Therefore many people take a common name similar to their true name. The weapon name is somewhat akin to a stage name, and is typically used when conducting business-related activities.