Man, I am sure you are right, and I may even be misremembering, but I could swear Frank Black said "Hi. We're the Pixies" when he started their set, opening for U2 back in the early nineties. The. Pixies. I don't know whether to be irritated with Frank Black or at my own dumb memory for being sure I was gonna at least get that one right.
Look at their album covers. It just says "Pixies" not "The Pixies". And for the purposes of the quiz I'm going by their Wikipedia page title.