Egg Shen is also a character from a movie called "Big Trouble in Little China" (gotta love KI and their references). Egg Foo Yung is a Chinese dish, and they probably had his last name "Young" to make it seem more like a name than a meal. I don't think KI meant for them to be related; they just have the name first names like how you see a lot of "Jack" characters around. Funny how these names were also mentioned on a popular thread called "Easter Eggs".
If you look at the names of the characters in Mooshu, they are surname last, as in Western style (as a lot of Asian people working with Westerners today do as well). I was uncertain in the game myself for quite some time, as KI was still working on putting NPC names in Mooshu for some time (indeed, in the fan-fic I wrote at the time I named Mooshuian characters in the traditional Asian way, as I did not know then which name form would be most typical. But I now realize it generally seems to be family name last)
It is such a pleasure, by the way, to see well-thought out Asian names for the host of NPCs, and I would extend my compliments on such thoughtfulness to Marleybone (where a lot of literary & British Isle history names crop up) and Aquila (where I notice especially a lot of minor character names from oodles of Classical Greek myths).
if you find out someone somewhere else in the earth has the same last name as you, are you related?
Probably not as there are a lot of common names. When surnames first started to be used it was just a description of what you did. Such as John the baker became John Baker. There could be some surprises there but most of the time I suspect it is just common usage of a name when they were first being used.