Artistic rights protection services, the ones where you register your music, lyrics, paintings, novels, etc. here in Europe allow you to include "artistic pseudonyms" to your member description.
You can use you band's name or your stage name as a author's name as long as they're aware of its existence. Music that gets played on the radio and is identified as belonging to "pseudonym/stage name" is subject th authoring rights (airplay royalties) and the money thus collected is delivered to the author that has the original register for the pseudonym.
I believe the system is international since most performance rights companies cooperate with each other, worldwide. Therefore, pseudonym registry is valid worldwide.