The official comic adaptation identifies him as Shan-YuShan-Yu (with a hyphen). He's referred to as the leader of the Huns. No other title or surname is provided.
The licenced Little Golden Book of the film does the same.
Along the wall, soldiers stand guard. Little do they suspect that this great barrier is about to be crossed by an army of Huns led by the ferocious Shan-Yu.
As does the movie script
The still night sky - a FALCON cuts across. Then, a shadowy figure gallops by on a horse ... Shan-Yu.