Madame Giry claims to have seen him in a freakshow in a traveling fair several years before, where it was said that he was formerly a torturer for the Shah, and that she later heard he had escaped.
Seven years later, his contract with that recording company expired and he went back to being known as simply Prince, making him the artist formerly known as the artist formerly known as Prince, if you're being technical.
Later, when the group is back together, the two go through their Running Gag ("Don't call me Prince." "Yes, Prince Jake") and Ax says, instead, "I will call you The Jake Formerly Known As Prince."