Je m'appelle Rudy.
The same way you say Rudy in English. Rudy is a name and names don't change because of language. One Spanish version of Rudolph (Rudolf) is Rodolfo.
Je m'appelle......is how you say my name is.......in French.
Rudy Seanez's birth name is Rudy Caballero Seanez.
Eduardo Rudy's birth name is Eduardo Mazzelli Rudy.
Jonathan Rudy's birth name is Jonathan Paul Rudy.
Rudy Wissler's birth name is Rudy Brieker Wissler.
Rudy Barillas's birth name is Rudy Barillas Mndez.
Rudy Gatlin's birth name is Rudy Michael Gatlin.
Rudy Law's birth name is Rudy Karl Law.
My name is (whatever) is "Mon nom est ..." or "je m'appelle ..." in French.
in fact rudy is a boy and girl name
It's not a French name