Best way to correct my name in the paper
Yes, don't waste time asking on the internet, but contact the editor as soon as possible. I don't know what the line "our proof corrections have been returned to Elsevier" mean exactly, but if you had dealt with production staff already (so, the article has been handed over from the editor to the publishing staff) you may also contact the production staff. More practical: Use the most recent communication channel that the journal used to contact you (could be the submission system, an email from the editor or an email from somebody at the production staff).