I'm pretty sure it's the same for me, with perhaps the one exception when the party masqueraded as a traveling musical troupe and had to name the troupe. However when the masquerade ended the name was never spoken again. So maybe that kinda counts?

I never even realised it was a thing people did commonly until I started watching Critical Role.

The closest my group has ever come is playing the Hell's Rebels adventure path for Pathfinder. In that you resurrect an old group called the Silver Ravens, so that essentially becomes your party's name.