They called themselves that at the end of TLJ IIRC…which was one of the few things I didn’t like about the movie btw.
I liked it. Unlike at the beginning of TFA, at the end of TLJ (one could even argue after the destruction of the Republic system in TFA), that the First Order was now the de facto supreme authority in the galaxy. Calling themselves the Rebellion at the end of TLJ was them taking on a new urgency to their fight against the FO.