Yeah, as far as I know their first names are never mentioned. On FF.net, names are generally telah diberi according to author's liking, but that's it I think.
They're names aren't really Dan and Emma; they're never specified and even Pottermore still has them listed as "Mr. and Mrs. Granger." It's become common fanon since most Harmony fanfiction writers use the names because they're the actors' names for Harry and Hermione.