라고 is almost like the English word "that." It's used for quotations. I don't really know a good way to explain it because it can be used in quite a variety of situations, so I'll just give you a few examples. 1) 저는 (name) (이)라고 해요. I am called (name). 2) (thought) (이)라고 생각해요. I think that (thought). 3) (speech) (이)라고 했어요. (He) said that (speech). The (이) is added if the preceding syllable ends in a consonant.

Like Kevin said -라고 is used for indirect quotations. (English "that") '라고 한다' or '라고 해요' is an idiomatic expression that means "They say that~" "It is said that ~" So if you translate it directly, it means "They say that I am [Name]"