This is set during user registration. You can change the value per filter 'user_register'
.
Sample code, not tested:
/* Plugin Name: First name plus last name as default display name. */
add_action( 'user_register', 'wpse_67444_first_last_display_name' );
function wpse_67444_first_last_display_name( $user_id )
{
$data = get_userdata( $user_id );
// check if these data are available in your real code!
wp_update_user(
array (
'ID' => $user_id,
'display_name' => "$data->first_name $data->last_name"
)
);
}