It's a matter of Romanization. He obviously takes the name from the Naruto character. It's like how Funimation uses the spelling "Frieza" and VIZ uses "Freeza." One of them is more natural sounding to the average English speaker, and is a proper Romanization. I'm not entirely sure what the characters making up his name are, so I couldn't tell you what would be more correct, though I'd honestly spell it "Pain" myself since it's probably a pun on the English word.
i kinda want this thread closed now. i feel like im not a new member anymore. i have a power level of 842(was 842), and i already have an avatar and sig. so close this thread. i kinda tired anyway.