Yeah, I did during the original LoZ. To be fair, I was very young and games those days had no story and there was no internet. So you would hear from friends that Zelda was the princess not the main character.
When I was four, I had the collector's edition and played Oot. I only thought Link was Zelda because it was called The Legend of Zelda(not Link). I knew it was Link not Zelda after getting Super Smash Bros. Melee at 5 or 6.
Yeah, back when I first played held a Zelda game I thought Link's name was Zelda (I was young and ignorant). I was relieved when I found out his name was Link not Zelda, because I didn't think the name suited him.
Super Smash Brothers 1.
He was Link not Zelda. My friends played the games and thought he was Zelda, then realized their mistake. It does get annoying, and I would guess that previous remark would be a mere euphemism for Zelda Williams.