The fact that the Name is on the Robe makes sense, because that's where the High Priest wore the Breastplate with the 12 Jewels and the Urim and Thummim; and the 12 Jewels are an echo and elaboration of the Tetragrammaton. But why the thigh?
It seems that the image of his name on the robe and thigh spell out certain kingly victory. Regarding the thigh, a strong thigh with a sword placed on it symbolizes strength. The sword is placed on the thigh:
As Christ's name seems to include his power and authority, it is fitting that it is like a sword.
From R.H. Charles' Commentary on Revelation - Since the figure was riding on a horse, the best place to view the name (from the enemies perspective) would be on his thigh. THe verse probably should be translated so that it says, "on his robe at his thigh".
The verse that this one connects with in Revelation is Rev. 17:14 - They will make war on the Lamb, and the Lamb will conquer them, for he is the Lord of Lords and King of Kings..." (NRSV)
This is an interesting question, as it takes in a composite view, of which every detail has it's significance.
In Rev. 19:11-21 it says,
The Scene which John is describing is the Great Battle, which is described in numerous places in scripture (Jude 14-15; Joel 3:14; Isa.26:21-27:1)
In order to accurately assess the meanings we must understand it Figuratively, rather than "Literally", as we see a picture of "Heaven" opening, and not 'looking through our fish-eye lens camera set on f35, this is what comes into focus...' The Battle is a spiritual battle, it is set for a "day and time" of the Lord's choosing. To clarify further, so as to leave no doubt as to what I mean by "Figurative" and "Literal":
Literal=The scene, or interpretation as being described in 'natural events' or time. If you can take a 'picture' of it with the scene etched in the phosphor of the film, or pixels in your electronic device, that is Literal. Another definition is the "historical/grammatical understanding of the context of the language used". So if I say, "Born Again" in Literal context, I would mean an individual literally re-emerging from his mother's womb-think Nicodemus.
Figurative=The scene, or interpretation REPRESENTITIVE of another reality. In this instance, "Born Again"=Spiritual Regeneration. It is like "A"="B", in other words, if we were solving a code, every time we saw the letter "A" we would interpret it to mean "B". Figurative interpretation does NOT mean 'Lofty Metaphor', 'Spiritualizing', or even 'Parable', it is a reality(think "Born Again"), just NOT the reality a 'natural' or "literal" interpretation understanding of the words paint.
The Rider of the White Horse, is the Lord: White=Purity, Righteousness. The "horses" represent swiftness, as God's Will "Swiftly" will prevail. Again, the context is figurative-the eyes are "as flames of fire", not 'actual fire' but intent and righteously angry as He is declaring war against His enemies. The "many crowns" are the many names the Lord is known by: "Conquering lion of the tribe of Judah", "Alpha and Omega", "The Word of God", "Prince of Peace", etc.. He is "clothed in blood" which is the price He alone paid for our redemption; it's His priestly "robe" dipped in righteous blood which gives us access to the Throne of God.
The "Sword" comes from His mouth; versus drawing from His thigh. What we are seeing is Truth, the very Word of the Very God "smiting the nations"(Ps. 2) and judging His enemies on the Great Day of His reappearance.
To understand the name "King of Kings and Lord of Lords" written on His robe and thigh, we must see "who" He is standing in opposition to. The "Antichrist" and "False Prophet" are the spiritual forces on this earth who are opposing(at this time) His Rule and Reign. This "Antichrist" or "Beast" is known in Rev. 13:2 as,
meaning, he is representative of the "leopard kingdom" of Daniel 7:6,
How we know this is when we look at the rest of this "Beast" in Rev. 13:2, it says,
it is no accident that the 3 animals corresponding to Daniel's vision in Dan. 7(Lion, Bear, Leopard) correspond to the "Beast" of Rev. 13:2. Since the "Antichrist"="Beast", understood from early church fathers,
therefore, "Antichrist="Like unto a Leopard". Since the 4th Beast of Daniel, "the Terrible Beast" was described as having "iron teeth", this identifies the "Iron Beast" as being the Roman Empire; since the Statue of Nebuchadnezzer describes the "legs and feet of iron" as being the 4th kingdom from Babylon, of whom we are told, "You are the head of gold"(Dan. 2:38). This means that the "Lion" is Babylon, the "Bear" Media-Persia, and the LEOPARD IS GREECE! These are the progressions of the Kingdoms talked about in Daniel 2 and 7, and the angel tells him (Dan. 7:17) that these are 4 "Kings" or some translations render "Kingdoms" that will come.
So, to understand the "Thigh", we must understand the Greek Kingdom, which was the
This Kingdom "...thighs of Brass "Had Dominion" over the Entire Earth
It is the True "King of Kings and Lord of Lords" who's Name is Written on His Thigh and Robe, who goes against the False "Christ", recognized by the "thighs of brass", and casts him and the False Prophet into the Lake of Fire. The 'righteous robe-dipped in blood' as opposed to the 'crimson' appearance of the "Beast", who attempts to 'redeem man' from God.
Since the images are symbolic and figurative, I believe in context with the overall picture, the name "King of Kings and Lord of Lords" on His thigh and robe is another means of identifying the True King, as opposed to the False One, who is identified by the thigh of the Statue of Nebuchadnezzer, yet is identified "as the Beast, and has dominion over the entire earth.
What I have not explained in this answer is how the Leopard/Belly and Thighs of Brass/Greek Kingdom becomes the Antichrist. I have given detailed explanations in other answers, the main reason is out of this "kingdom" comes a system of belief called "Secular Humanism" of which all modern forms of government are derived from as well as modern thought. The most militant expression of it is Atheistic Communism, but the essential characteristic of Secular Humanism is that it worships "Man as God", versus Christianity, who worships God, who became a man. This conflict originated in the Garden of Eden as Eve and ultimately Adam fell over Satan's temptation of being "As God". It is the Greek Kingdom which idolized man, as opposed to 'animal/spirit' deities, and this Ideal was allowed to persist throughout history, although as a physical nation the Greeks lost their 'Dominion' relatively quickly as dynastic kingdoms go.
A brief answer describing Secular Humanism and it's opposition to Christianity can be found here
Otherwise, for a more detailed explanation read, "How Should We Then Live:The Rise and Decline of Western Thought and Culture" by Francis Schaeffer.