I would have to agree that it would be interesting to be able to change and/or choose the names of colonies in EU2. After all, I'd like to point out that right now we have a state of New York, not New Amsterdam, if you know what I mean. However, why limit this the New World? I see no conceivable reason why you shouldn't be able to change the name of, say, Magdenburg to "Reichburg" after having completed your conquest of Germany. Its the type of thing some rulers just might do, after all, and it does add to the flavor of the game.
Furthermore, I think we've all missing the obvious about changing country names, considering that when the game starts, very few of the Modern European nations are even united, it seems only fair that we will have the option to re-Christian our country, perhaps after conquering a certian percentage of a region. After all, it would seem odd for,say, Aragon to conquer all of Spain by 1750 and STILL be called "Aragon" or for even Novograd to annext Ryzan, Muscovoy and STILL be called "Novograd" instead of Russia.
I'm not sure exactly how this option would work, but in my mind, you'd have to annex 75 percent of a gercian region before being able to declare yourself the name of that region. So if Aragon conquered everything BUT Portugal, they could call themselves Spain. Or if Saxony have captured all of Germany(including Austria) but has failedto capture an enlarged Pommerania, then they coudl rename themselves as "Germany". SOmething would also have to happen diplomaticly, but I'm not sure queit what, to be hoenst with you. Perhaps, dpeending how you went about the creation of your state, it woudl give you a diplomatic bonus, or a minus?