They do not want just to be named after that region. They want their country to eventually be this region. This is very clear if you ever visit. You can see everywhere maps like [1]. The red part is the "borders of their heart". In this photo, they actually kept the current borders (usually this is not the case) and you can see that they claim parts of Serbia, Bulgaria, Albania and a huge part of Greece. Also, a large part of the population shares these views, so such events is not just a mindless ultra nationalist minority.

[1] http://i.dailymail.co.uk/i/newpix/2018/03/04/02/49CB53830000...