$coll = Mage::getModel('sales/order')->getCollection();

$fn = Mage::getModel('eav/entity_attribute')->loadByCode('1', 'firstname');
$ln = Mage::getModel('eav/entity_attribute')->loadByCode('1', 'lastname');

$coll->getSelect()
    ->join(array('ce1' => 'customer_entity_varchar'), 'ce1.entity_id=main_table.customer_id', array('firstname' => 'value'))
    ->where('ce1.attribute_id='.$fn->getAttributeId()) 
    ->join(array('ce2' => 'customer_entity_varchar'), 'ce2.entity_id=main_table.customer_id', array('lastname' => 'value'))
    ->where('ce2.attribute_id='.$ln->getAttributeId()) 
    ->columns(new Zend_Db_Expr("CONCAT(`ce1`.`value`, ' ',`ce2`.`value`) AS fullname"));

print_r($coll->getData());