When Nathan Birnbaum was growing up on Manhattan's Lower East Side, New Yorkers used coal to cook and to heat their homes. One of the largest suppliers of coal was a company called Burns Brothers...
As coal was expensive, however, Birnbaum's widowed mother (who took in washing and did other menial jobs) could scarcely afford it. Young Nathan and a friend therefore took to stealing chunks of coal from the Burns Brothers' truck when the driver was not around and stashing it in their knickers for safe transportation home.
The neighborhood kids, well aware of the boys' mischief, dubbed them the "Burns Brothers." Nathan liked the name Burns so much that he kept it and, having stolen his older brother's name, was soon known to the world as: George Burns.
[Manhattan derives from an Indian word (Manahachtaniek) meaning "island where we all got drunk" -- a supposed reference to a spirited encounter between the Native Americans and some newly arrived Dutchmen.]
Sources
Cigar Aficionado, 1996