She chose to call her character Jigglypuff.
You mean you can have a horror character named Pennywise, but not one named Jigglypuff?
For a Ravenloft (setting) game I'd normally insist on an all-human party, or at least, no Tolkien races. I don't think it is in keeping of the Ravenloft setting for alien things to not be uncanny, and for things at are uncanny not to be evil.
But Jigglypuff suggests a clown, and as some have observed, clowns are scary. Also, Jigglypuff suggests the name of a childhood imaginary friend, and imaginary friends are also scary. Also, someone named 'Jigglypuff' suggests insanity, so that if someone introduced themselves to you as 'Jigglypuff' you'd be afraid simply because its an alien name happily sitting in the uncanny valley. Evil oft a pretty face wears, seeming fair but feeling foul.
This comes down to again whether I trust the player, but speaking as a DM, I'd be quite happy to have Jigglypuff the little person Dark Lord of her own realm. And I'm pretty sure she'd be freaky.
Whether or not a player is willing and capable of playing a PC named 'Jigglypuff' as a subtle character in a Gothic story without being nothing more than a distraction is a different question. And whether a particular group has too much preexisting experience with the word Jigglypuff to accept it in a new context is likewise a different question. In that sense, Jigglypuff is just as poor of a choice for a name in Ravenloft as Hon Solo.