Примерно так (сумасшедший разговор LINQ, я знаю)
string returnStr = "Claus,Junker,Jørgensen";
string[] keys = new string[]
{
"FirstName",
"MiddleName",
"LastName"
};
Dictionary<string, string> groups = returnStr.Split(',')
.Select((x, i) => Tuple.Create(keys[i], x))
.ToDictionary(k => k.Item1, v => v.Item2);
// Alternative version
Dictionary<string, string> groups = returnStr.Split(',')
.Zip(keys, (k, v) => new KeyValuePair<string, string>(k, v))
.ToDictionary(k => k.Key, v => v.Value);