It would be better to stick with “who”, because it refers to a person whereas “what” refers to a thing. People probably speak like this sometimes, but it would be considered as very informal.

"Danny what" would sound very odd to a native English speaker. "Danny Who" would be correct.

Esta es una pregunta interesante. Depende de la situación. Si un policía te pregunta "What is your name?" Y dijiste "Danny". Entonces diría "Danny what?" (Esto significa que él está exigiendo saber su apellido.) Pero en la mayoría de las situaciones, "Danny who" es la mejor opción. Good luck!