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config/world_names.csv

= to completely rename a country (like I renamed Greece to Roman Empire)

Or, an event with the command
command = { type = name where = [TAG] which = "[New Name]"}

To change the name on a single save game.
 
config/world_names.csv

= to completely rename a country (like I renamed Greece to Roman Empire)

Or, an event with the command
command = { type = name where = [TAG] which = "[New Name]"}

To change the name on a single save game.

This isn't 100% true btw. There is a segment (somewhere near the names of the ideologies in one of the other csv's (name eludes me currently)) for the U00-99 countries which is a duplicate of the worldnames.csv section for them. This does mean that some countries will appear not to change name, due to their name in this other file being called up after. I can't recall what the file is called at this time, but it's somewhere in config and might be doomsday or new or something. A quick search for the tag will find it quickly however.