This, however, is not him saying his nick name. His nickname probably is a wordplay because he says this phrase so often. It's "Manjoume-san da!". He's not saying thunder, and yes he has added san to his name. What he is saying is "It's Manjoume-SAN!". He's reinforcing the use of honorifics.
While Manjoume has mellowed out a tad from his more nastier personality early on in the show, and he has dropped in offical rank (despite the fact he's probably as popular as a goddamn celebrity during his duels), he hasn't lost one paticular trait. Manjoume is very very concerned with proper addressing to one another. He still obviously feels that he and Juda are not on a close enough relationship or that he feels Judai needs to remember to use proper adressing to one's peers (Something Judai seems to forget along with basic understanding of marriage, women, and a number of things. ;)).
I've stated this in several places before, but I do feel that it needs to keep being reiterated. Manjoume is not annoyed at the lack of the use of the use of his cool nifty nickname, but rather Judai's complete lacking of proper social taboo and convention.