Name Change option at Citizenship Interview

[annvee]

I had my citizenship interview today. I wanted to change my last name but the officer asked for marriage certificate and I did not have that with me. She also asked me if I have used my married name before. Since I've not used my married name before, I said No.
How can I change my last name now? Has something changed recently? I know that couple years back my friends requested for name change during interview process and they had no issues.

Thanks for help in advance.