This has definitely been requested in the past and denied. While I can't find a specific thread, it has also been brought up on the GitHub repository for the new site a few times. Here is a recent, slightly similar request which has a reply in it from peppy:
https://github.com/ppy/osu-web/issues/4406
It's so you can find people across username changes. It's also the reason username changes exist (I wouldn't allow them if there was no easy way to track backwards through changes).
If you have some very important reason for needing a previous name not displayed you can send an email to
accounts@ppy.sh and ask if it is possible to do. I do not know where they draw the line though, I'd imagine they would most likely only do that if your previous username happened to be your full real name, or something along those lines.