I found:
"His father, Hank Sr., called him Bocephus when he was a child.
The story goes that there was a fella who did ventriloqiusm with several puppets at the Grand Ole Opry when Hank Williams Sr. was singing there. Hank Jr. would've been an infant. One of the ventriloquists' puppets was named Bocephus. Well Hank Sr. had been known to say that Hank Jr. looked just like a doll because he was such a good looking boy. Hence the nickname Bocephus, after the doll."
https://www.quora.com/How-did-Hank-Williams-Jr-get-the-name-Bocephus
My suspicion is that the ventriloquist paid attention in history class, but he might have remembered names wrong or purposely mixed the name of Alexander’s horse with that of the first century Jewish historian or something.
Josephus is actually a really important figure in interpreting many first century occurrences, including Christianity. This guy was Jewish, but not Christian (some seemed to be kind of mixed religions at the time), and he mentions Jesus in his writings, which is a big deal because this was a fringe religion at the time and other outsiders didn’t even consider such things worth mentioning very often.
Jesus - Wikipedia
“
Early non-Christian sources that attest to the historical existence of Jesus include the works of the historians
Josephus and
Tacitus.
[p][260][267] Josephus scholar
Louis Feldman has stated that "few have doubted the genuineness" of Josephus' reference to Jesus in
book 20 of the
Antiquities of the Jews, and it is disputed only by a small number of scholars.
[268][269] Tacitus referred to Christ and his execution by Pilate in
book 15 of his work
Annals. Scholars generally consider Tacitus' reference to the execution of Jesus to be both authentic and of historical value as an independent Roman source.
[270]
Non-Christian sources are valuable in two ways. First, they show that even neutral or hostile parties never show any doubt that Jesus actually existed”
Josephus on Jesus - Wikipedia
“
The extant
manuscripts of the book
Antiquities of the Jews, written by the first-century Jewish historian
Flavius Josephus around 93–94 AD, contain two references to
Jesus of Nazareth and one reference to
John the Baptist.
[1][2]
The first and most extensive reference to Jesus in the Antiquities, found in
Book 18, states that Jesus was the
Messiah and a wise teacher who was crucified by
Pilate. It is commonly called the
Testimonium Flavianum.
[1][3][4] Almost all modern scholars reject the authenticity of this passage in its present form, while the majority of scholars nevertheless hold that it contains an authentic nucleus referencing the execution of Jesus by Pilate, which was then subject to
Christian interpolation and/or alteration.
[3][4][5][6][7][8][9][10] The exact nature and extent of the Christian redaction remains unclear, however.
[11][12]
Modern scholarship has largely acknowledged the authenticity of the second reference to Jesus in the Antiquities, found in
Book 20, Chapter 9, which mentions "the brother of Jesus, who was called Christ, whose name was James."
[13] This reference is considered to be more authentic than the Testimonium.
[14][1][15][16][17][18]
Almost all modern scholars consider the reference in
Book 18, Chapter 5 of the Antiquities to the imprisonment and death of
John the Baptist also to be authentic and not a
Christian interpolation.
[19][20][21] A number of differences exist between the statements by Josephus regarding the death of John the Baptist and the
New Testament accounts.
[19][22] Scholars generally view these variations as indications that the Josephus passages are not interpolations, since a Christian interpolator would likely have made them correspond to the New Testament accounts, not differ from them.
[19][23][22] Scholars have provided explanations for their inclusion in Josephus' later works.
[24]
