Because almost all Muslim realms were named after the ruling family. There wasn't really a sense of a particular regional kingdom in the middle east, it was simply a place where conquerors or people who ruled critical population centres formed rather fleeting states. The Sultunate of the Seljuks is a far more historically informative name than "Persia", because the Seljuks were not Persian. The same goes for using Fatimid, Ayyubbid and the like for Egypt, as they commonly were not Egyptian. The Caliphates, such as the Abbassid Caliphate, were also named for the ruling family, as "The Sunni Caliphate" would come across as a rather bizzare name considering they did not exert true authority over all Muslims. In places where the name of the realm was better known than the ruling family, there's an exception to make it show that way, such as with Rum and the Ilkhanate, plus when a dynasty has more than one independent realm the smaller realm (like the Sheikhdom of Lleida) keeps the normal name.
Aztecs changing place names was mentioned before, however those sound rather minor and irrelevant changes.
