Let's try to analize the puzzle :)
The first and the second line shows no indication what so ever to how the ship might have been called. However, if we take a closer look at the last - third line, we will see something really interesting:
What is the name of the ship. <-- There's no questions mark!
What does it mean then? Well, it means that it's not really a question, it's more of a message hidden in a question-like affirmative sentence. Therefore, if that's not a question what is not really necessary there and should not be where it had been placed unless, it's the name of the ship! Think about it and look at the sentence one more time:
What is the name of the ship.
This might surprise you, but the answer is actually "what"!
P.S. If what is there not in a function of an interrogative but just a name, then has there even been a question in the first place? That's a paradox for you guys :)