I thought he got the name Colton in EU through that storyline that was about Leia prior to ANH... Her and the Tantive IV wound up at some chick smuggler baron's hideout and stuff. The comic's details are escaping me and for the life of me I'm not finding the one or two issues of that series I had... But I know I read that.
I don't have the figure's cardback to read anything either...
I thought the name may have been spat out in a game or two, but that's something I can't check on since the game I'm mainly thinking of is the original X-Wing game.
Beyond that, I'd like to read what the Fact Files say, they're a good resource too, but I don't have an Antilles entry in the ones I have... He may not have gotten one for all I know, but I thought I had read one on him.
In the X-Wing Novels I thought there was a distinct mention of Colton Antilles too, and how he's not related to Wedge, blah blah blah... To settle that age-old debate.
I also thought he was mentioned by name in the Radio Drama for ANH...? He wasn't in the novel though as I recall.
Marvel #1 supposedly had "Captain Colton Antilles" in it too I think... Not sure though, don't own it.
And on another note about the same topic... A bit in one of the recent Insiders (2004 issue) I guess the Antilles role was offered to Denis Lawson who turned it down... Lawson's no spring chicken though. So the character's age changed dramatically between the actors. That's weird. And I guess Lucas was maybe intending for the captain of the Tantive to be related to Wedge...
There's a LOT of confusion around this, but it seems to me the name Colton's not imagined, but based in something. It's just not based in much. And I'm sticking by my guns... Antilles in ROTS is not Antilles in ANH. Related perhaps, or not, but they're different guys.

And so is Captain Colton...
But there's more confusion to the mix. Why is there a Captain Colton on the Tantive IV with another Captain? Who the hell's in charge! Someone on Alderaan got a little over-zealous giving away promotions dammit.
In the words of C-3PO: "I'm so confused".
