Hajj is usually a term reserved for those who have gone on a pilgrimage to Mecca. In essence, his choice of name is quite funny when you say it, at least for us Arabs, particularly with Al Sayid inserted after Hajj; Al Sayid roughly translates into Mr. which would imply that his name is Pilgrim Mr. Nicolas Anelka.
Odd choice of name, since most Frenchies that convert seem to have a liking for the name Bilal.