Is it possible that your ancestor changed his name simply because he wanted to and with no official paperwork to document the change? For much of American history (and possibly in other locations as well), names could be changed with little formality.
If your ancestor naturalized after 1906, his naturalization papers may mention the change. Land records may occasionally reference a change, especially if the name on a deed of purchase is different from the name on a deed of sale. Probate records may indicate if the deceased used any other names. And lastly, pension records may also provide alternate names, aliases, etc.