Wub's Cursed Hexblade, 2, Weapon—Dagger, Melee (1), 1 ATK, 2 Strike (Honor-182R)
(2), Destroy Wub's Cursed Hexblade >>> Destroy target ally. If an opponent went first this game, put a card with the same name as that ally from a graveyard into your party.

This uses the name that ally had as it left play. If that ally had no name, you can't retrieve a card from a graveyard. Alternately, if it was an Essence of the Martyr copying an ally, you can't retrieve a card named Essence of the Martyr; you can only retrieve a card with the same name as that ally.

Think of it the same as Solanian's Belongings (when your hero is a Blood Elf). Processing text in order: you put the card on top of the deck, then draw a card, the top card of your library which was just put there. Hexblade: you destroy the ally, moving it from in play to the graveyard, then put into play a card from that graveyard with the same name as that ally. That ally is in the grave and has the same name as itself, therefore is a legal choice.

Understandable you're looking for clarification, I was apprehensive at first too.

Comprehensive Rules v3.2:

712.3a If text says to do something to “that [thing],” it’s done to whatever [thing] was last explicitly mentioned in that text, even if “that [thing]” doesn't currently describe it (but see 415.10a).