"bug" is appropriate in the "spy" sense of "bugging" a room. "Web Spies" might get the point across better. Wait until you see Persistent Identification Elements. That's what is being used now, because people have caught on to cookies.
When you're trying to explain what you do it's best to go with words people know and leave coining new terms to Snoop Dogg.
Spyware cookies are something invented by Spyware software vendors to sell more software.
"Spyware cookies" miss the issue IMHO. It is the responsibility of the sites you visit to remain transparent; focusing on "cookies" incorrectly makes it a 3rd party service issue, i.e. tell me who allowed the cookie to be set in the first place not just that it exists.