(Ahah don't mind me with my headcanons)
Captain Toad: That's it, that's his name. His first name is "Captain," though when he was younger it was Jamie. He/They.
Toadette: Her first name is "Amelia," which she chose based on her favorite explorer. She/They.
Green Toad: His first name is "Melody." He/She.
Blue Toad: His first name is "Russell," meaning that he is the same Russ T. from Paper Mario: The Thousand Year Door. He/They.
Yellow Toad: His first name is "Leslie," which he chose because he liked the sound of it. He/She/They.