There are a few different things you might want to consider with a pen-name/pseudonym.
You don't have to, but the opportunity to "make one up" allows you to experiment more, so why not give it a shot? It will certainly help you narrow things down.
A pseudonym will often be tailored for its purpose in a way that our regular names usually aren't. Some artists were already given great names, so they use it for their thing.
In the music industry, an example would be Billie Eilish, which is her real name and easily sounds like it could be the name of a music star. An example of someone who created a pseudonym would be Lady Gaga - Her real name is Stephanie Germanotta, arguably more specific and exotic, and might not lend itself well to the goals she had in mind.
Now, I don't know if most popular writers who made up a pseudonym had it in consideration, but it would make sense. Think Dr. Seuss - sounds pretty wacky, right? Well, The Cat In The Hat is pretty wacky, so who better to write it than someone called "Dr. Seuss"?
For Fantasy/Erotica Comics, you might want to go for something a bit over the top (that still sounds like a name) and try to brainstorm sexy, otherworldly names. You do this using common associations. In fantasy, you often have connections to forests, lakes, and nature in general naming.
Similarly, in Erotica, you have a lot of associations when it comes to water, smoothness & hardness, and these are the kind of associations you might want your name to give the reader. Exactly what the assoications should be I can't tell you, it depends on the specifics of your comic and what you want to invoke in their minds.
Another thing to do is Google the name and see what comes up. You've found a good name, generally, if there are very few similar hits, and no identical hits. You'll also want to consider if it "sounds" unique, regardless of if it is or not. A name that sounds cliché won't inspire readers to gravitate toward your work, which is always the challenge with tropes of any kind. A name that sounds special and works as a symbol of the brand will be a great focal point for people who would potentially consume or even obsess over your comics.
Now this is the third point, but it might as well be the first, because this is important! Make sure that the name "feels" personal to you in some way. It should reflect the aspects of you that your work expresses. All creative work we do come from a piece/a perspective of ourselves that we harness, and if it doesn't feel right in your gut then it's not the one. Reading your pseudonym should help put you back in the perspective you need to do your work.
Finding a new creative name for yourself is exciting, and as much about self-discovery as it is about showing yourself off to others.
Use online dictionaries, synonym sites, antonym sites, and even random generators, or steal a piece from this-name or that-name if you like them. Get creative. When it comes to art, you can steal from anything as long as the end result seems uniquely you.
Best of luck on your new name!