I believe its a result of his acceptance of the title given to him by who he refers to as wags ie the tabloids, where they referred to him as Dame David of Bowie.

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He was given the name in the 80's by Smash Hits, a music magazine. As well as "Dame David of Bowie" they gave many other people silly names, among them Paul McCartney (Paul "Fab Macca Wacky Thumbs-Aloft" McCartney), Madonna (Madge) and Patrick Swayze (Patrick Swizzle).