We don't know how, we don't know why.
Apparently there is a 3DS indie game called Harold's Walk.
Clearly Harold naming himself "Harold Walking" was a refference to that game, right? Wrong.
This is the first known record of Harold being named "Harold Walking".
The game was released several months after this record was created.
I failed to find mentions of the game from before the release date. In fact, the trailer was uploaded in February 2021 for some reason.