But Lacey Axemaker is such a fantastic name!!
I'm not sure if I'm going to help much here but here goes - I was always think you want to make sure that people don't confuse you with others, you need to be as unique as possible (my old english teacher spins in her grave at my terrible grammar).
There's already a Burlesque performer in the States called Dolly Danger, I think she used to perform with the Crimson Kiss troupe. There's also a Dangerous Dolly here in the UK.
Ruby Ruin, though a fantastic name, isn't a burlesquer, but she still has a myspace page (and you have to have a think about how you want people to find you in the future - do you want them googling your new name but finding lots of other versions) - she's a bass player in Canada.
The same goes with Holly Hatchet - there are a few girls using this name on various fora
Betty Deadly doesn't seen to be taken and with your alternative vibes fits well with love for Bettie Page......although I think Lacey Axemaker is just perfect
