Thread:Slytunkhamen II/@comment-9203679-20130507021429/@comment-2111068-20130507225743

My guess is his nickname is simply because Slytunkhamen II is his favorite Cooper. Please note that this user hasn't edited since the end of January, so you might've had to wait a while for a response anyways.

In regards to your question, it's not clear whether Slytunkhamen II stayed in Egypt or not; based on Sly Cooper: Thieves in Time, the ancestors featured in that game didn't go outside their time period (nor their location).

Hope that answers your question.