Micmak, if it's any help to you (and I know this is surname not first name), when I remarried I decided to keep all my work-related stuff (employment, pension, tax, bank account) in my previous surname, only keeping my "new" name for private matters. I checked it all out with my employer and with the taxman - the taxman said he didn't care what I called myself, it's the NI number which counts.
As is suggested, I would send a letter with the paperwork which says "my birth name is Pa but I have always been called Je" - just leave it at that - the same NI number will apply, whatever her name is.