I think I remember reading about this somewhere. No idea where, but this is what I remember:

The Naruto databooks or whatever the hell they are had the names in the English order (Naruto Uzumaki, Sakura Haruno, etc.) AND had Rock Lee as is. Can't remember the exact terms used but I think it was that Lee's and Gai's names ARE in fact English style, regardless of the fact they're refered to as Lee and Gai.

I'm just reiterating something I remember, so don't shoot me down if it's wrong.