Not my name...

What does one do when they are given a nickname that they do not want?  It is not bad, it is just annoying and I am trying not to go Italian-pregnant-chick crazy, but it needs to stop. There is someone --to remain PC and non-incriminating, I will just say that I am not related to said person-- who calls me by not-my-name and it drives me crazy.  First of all, we are not close enough for this person to "give" me their approved nickname and secondly, I am pretty sure they can see the look of disgust on my face when they use it. So, do I reply with an absurd name in response?  This way maybe the clueless one will say "what?" and I can reply with "well, my name is not _ _either, but you call me it...so I thought jackhole was something you wouldn't mind that I give you."