Thats the name of your device on the device itself. You change it by re naming the device, on the device. For an iPhone, here are apples instructions:
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You can change the name of your iPhone, which is used by iCloud, AirDrop, and your computer.
support.apple.com
Change the name of your iPhone
You can change the name of your iPhone, which is used by iCloud, AirDrop, your Personal Hotspot, and your computer.
- Go to Settings > General > About > Name.
- Tap , enter a new name, then tap Done.