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The only way you can change the name of your country is by changing your primary title if you have more than one title at your top level (ie if you have two duchies and your rank is Duke, or 2 Kingdoms when your rank is King) - say for example you have the title King of England and also King of France, you could then choose which one of those will be your main title, which is the one that appears on the map screen.
Also some counties change name depending on who rules them, this is particularly noticeable in the Balkans/Middle East.
As for Muslims, the dynasty name is indeed what appears on the map. The only exception is where the same dynasty rules more than one independent realm, in which case one of them will have the sheikhdom/emirate/sultanate name the same way the Christians do.
Oh, and as BMN said, you can change county/sheikhdom names like that if you want, but I don't think this has any wider effect. I've never done it though.
never found a way to change the name of a dutchy, kingdom or empire thou, i've looked a bit.
Here's a link
http://forum.paradoxplaza.com/forum/showthread.php?608632-Mod-Generator-Kingdoms-(and-Empires)-Abound-Titular-Title-Generator
Although you'll need to register your game in order to view the page (to keep people stealing the game at least not getting the mods easily).