From what I can gather at the very least, the few ones we have don't seem to have last names. Perhaps allagans didn't make use of those, or didn't exactly made the difference between last name and first name, for them it being just a name, and that's it.
( Note that Amon was called Hein in FFIII )
( Note that Amon was called Hein in FFIII )
Balmung:Â Suen Shyu