Remove hyphen automatically from Opportunity name on Lead conversion

This can be accomplished by using a workflow rule, with field updates based on a formula that checks for hyphen:

Create a workflow rule to remove hyphens from the Opportunity Name when an Opportunity is created:

1. Classic: Go to Setup | Workflow Rules | Click New Rule or  Lightning Experience: Gear Icon | Search for Workflow Rules | Click New Rule
2. Select the Object as Opportunity
3. Enter Rule Name
4. Choose to evaluate the rule when a record is: created
5. Then select the Rule Criteria as: formula evaluates to true. 

Use Rule: 

IF 
( 
CONTAINS(Name,'-'),true,false 
) 

6. Click Save and Next
7. Add Workflow Action to update New Field
8. On the Field Update Edit page, enter a Name for the field update, and select Opportunity Name as the Field to Update.
9. Specify New Field Value as below: 

SUBSTITUTE( Name , '-', '') 

10. Activate the workflow rule. 

See alsoCreate a Workflow Rule