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:
Now Ehud had made a double- edged sword about a cubit long, which he strapped to his right thigh under his clothing. (NIV, Judges 3:16)
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,
" And I saw heaven opened, and behold a white horse; and he that sat upon him was called Faithful and True, and in righteousness he doth judge and make war. 12 His eyes were as a flame of fire, and on his head were many crowns; and he had a name written, that no man knew, but he himself. 13 And he was clothed with a vesture dipped in blood: and his name is called The Word of God. 14 And the armies which were in heaven followed him upon white horses, clothed in fine linen, white and clean. 15 And out of his mouth goeth a sharp sword, that with it he should smite the nations: and he shall rule them with a rod of iron: and he treadeth the winepress of the fierceness and wrath of Almighty God. 16 And he hath on his vesture and on his thigh a name written, King Of Kings, And Lord Of Lords. 17 And I saw an angel standing in the sun; and he cried with a loud voice, saying to all the fowls that fly in the midst of heaven, Come and gather yourselves together unto the supper of the great God; 18 That ye may eat the flesh of kings, and the flesh of captains, and the flesh of mighty men, and the flesh of horses, and of them that sit on them, and the flesh of all men, both free and bond, both small and great. 19 And I saw the beast, and the kings of the earth, and their armies, gathered together to make war against him that sat on the horse, and against his army.
20 And the beast was taken, and with him the false prophet that wrought miracles before him, with which he deceived them that had received the mark of the beast, and them that worshipped his image. These both were cast alive into a lake of fire burning with brimstone. 21 And the remnant were slain with the sword of him that sat upon the horse, which sword proceeded out of his mouth: and all the fowls were filled with their flesh.
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,
"like unto a leopard"
meaning, he is representative of the "leopard kingdom" of Daniel 7:6,
After this I beheld, and lo another, like a leopard, which had upon the back of it four wings of a fowl; the beast had also four heads; and dominion was given to it.
How we know this is when we look at the rest of this "Beast" in Rev. 13:2, it says,
his feet were as the feet of a bear, and his mouth as the mouth of a lion:
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,
"For when he (Antichrist) has come, and of his own accord concentrates in his own person the apostasy, and accomplishes whatever he shall do according to his own will and choice, sitting also in the temple of God, so that his dupes may adore him as the Christ; wherefore also shall he deservedly “be cast into the lake of fire:” Revelation 19:20 [this will happen according to divine appointment], God by His prescience foreseeing all this, and at the proper time sending such a man, “that they may believe a lie, that they all may be judged who did not believe the truth, but consented to unrighteousness;” whose coming John has thus described in the Apocalypse: “And the beast which I had seen was like a leopard, and his feet as of a bear, and his mouth as the mouth of a lion; and the dragon conferred his own power upon him, and his throne, and great might.(taken from Irenaeus "Against Heresies" Book V, Chapt. 28:2)
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 image's head was of fine gold, his breast and his arms of silver, his belly and his thighs of brass,(Dan. 2:32)
This Kingdom "...thighs of Brass "Had Dominion" over the Entire Earth
39 And after thee shall arise another kingdom inferior to thee, and another third kingdom of brass, which shall bear rule over all the 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.
But why the thigh?
The "thigh" was were the Sword was normally hung, but it this case Jesus (The Word) is acting as God's warrior King thus they see his "name;" this time as God's executioner of the wicked; as on his thigh is what the see by the "name" he is acting in God's power, example:-
NWT Revelation 17:14  Added
"These will battle with the Lamb [Jesus], but because he is Lord of lords and King of kings, the Lamb [Jesus] will conquer them [the wicked]. . . ."
This is what the kings of the earth will see:-
NWT Psalm 2:7-10 "Let me proclaim the decree of Jehovah; He said to me: “You are my son; Today I have become your father. 8 Ask of me, and I will give nations as your inheritance And the ends of the earth as your possession. 9 You will break them with an iron scepter, And you will smash them like a piece of pottery.” 10 So now, you kings, show insight; Accept correction, you judges of the earth."
NWT Revelation 2:26, 27 "And to the one who conquers and observes my deeds down to the end, I will give authority over the nations, 27 and he will shepherd the people with an iron rod (see Psalm 2) so that they will be broken to pieces like clay vessels, just as I have received from my Father."
The thigh is where sworn oaths were made during the time of Abraham. Jacob/Israel also made Joseph place his hand under his thigh to swear an oath, to make sure Jacob's body was not left in Egypt after the exodus. Revelation says Christs name will be written on his thigh. It tells us his name is "the word of God". The WORD of God was the Torah. The laws and commands as written on the two tablets of testimony. Exodus 24:12 says BOTH the law (torah) and the commands were written on the tablets. We know the word (torah) was made flesh. And Jesus commanded everyone to obey his torah just as he did. God said his Torah was a sworn oath. He made the Israelites swear they would obey this oath at mount siani during the Exodus. This took place during the Feast of Pentecost. If Christs name is "The Torah" and it will be written on his thigh, and the thigh represents an oath, and his double edged sword represents the word of God, and swords were always strapped to a soldier's thigh, and Jesus is the commander of the Lords army carry a double edged sword, it all makes sence. Obey Gods laws, for Jesus said "if you love me you will obey my commands".