It is done to invoke the protection of a particular saint, a saint one admires and wishes to inlcude into one’s life on a regular basis. It gives one an extra “patron” or mentor in Heaven.
It does not have to be anybody mentioned in the Bible (I can’t feature too many people choosing Haman or Goliath, for example;) ). All the saints, blesseds and servants of God are not in the Bible. One of my dearest heavenly friends is Servant of God Vincent Capodanno. He was killed in Viet Nam, a little too late for the Bible.
I was told, as a child, the pious bit of tradition started because those coming into the early Church were often named after gods and godesses. By choosing a saint’s name, they were renouncing their connection with the gods,and choosing a heavenly friend to help them with their journey in Faith.
If you are a catechumen, you might want to think about that little story. If you are a candidate, you still might want to think about that little story. Whether or not you have to “pick a saint” is usually up to the pastor, and not mandatory.
However- You can’t use an extra friend, particularly one with good connections who lives in THE best place?