This is the name of a wonderful singer whose career height came in the mid nineties with her solo debut, Tigerlily, after her peaceful separation from the band that had made her famous, 10,000 Maniacs. She has since produced several more solid albums and married with a child, little Lucia. It can be used to replace "good god," "holy moses," or the like. As such, the middle name, Anne, is a modifier to imply a more intense coolness, while her first and last names are simply in keeping with normal coolness. It can also be used to express disbelief or surprise.
Example of Intense Coolness-
Girl 1- "Natalie Anne Merchant! Where did you get those shoes!?
Girl 2- "Payless."
Example of Disbelief-
Student 1- "Natalie Merchant! I failed my math test!"
Student 2- "I got one hundred percent."
Student 1- "Suck it, ho."