I have been poking around for a while and can't seem to find anywhere to do it or if it is even possible so..
Is it possible to change your MyOpenID.com username?
It depends on the provider if they will let you change your username or not.
However, When you add your OpenID to a webapp, it will usually store the username + provider fx
As for an answer to the question:
You can modify your display name without changing your openID login for most websites (like stackexchange, stackoverflow, superuser) by going to your profile and clicking on the edit button.