A lot of fictional nations take their cue from real world nations and use them to build off the culture and governments of those nations. It might be helpful to look at your region of the world and see how example nations in that region got their name as well as look at geographical features in the area. For every real nation, Wikipedia opens with an "Entymology" section in it's article that describes how that nation's name came to be in English [there are many nations that call themselves something other than the English version of their name. For example, Germans do not call Germany "Germany" but rather "Deutschland" in the German Language. The Chinese do not call the U.S.A. the Chinese words for United States of America, but rather the simple modern translation is "The Beautiful Country" due to the fact that the word "America" sounds similar to the Chinese word for Beauty. Historically, America was first known as "The Colorful Flag Country". And it isn't the only nation with such flattering names. It's actually Chinese tradition to name countries in a flattering manner.].
Formal Names
So most countries do not go by a formal name but an extended name that helps describe the government. For example the official name for "America" is "The United States of America" or "The United Kingdom of Great Britain and Northern Ireland" or "The Federal Republic of Germany". These generally denote something about the government of the territory. Keep in mind, that these terms usually have specific meanings when parsed out. For example, "Federal" denotes how regional government is handled [typically a federation will be made of a bunch of smaller states joining together for a collective governance, but retaining some sovereign powers separate from the central government.]. Republic denotes that the Head of State is not a monarch [Americans tend to think it means the same as a "Representative Democracy" as opposed to a Direct Democracy... it does not normally]. A country with a monarch will be called a Kingdom.
Note that the adjectives need not be descriptive. In fact, there's a long standing joke that the more adjectives your formal name uses, the more likely your nation is not those things [Hello, Democratic Peoples Republic of North Korea. Or as someone else once noted, the Holy Roman Empire was neither "Holy", "Roman" or "Imperial"].
There are a few nations that do not use any formal names, such as Canada [which is a Federal Constitutional Monarchy] and Japan [which is also a Federal Constitutional Monarchy... technically, the only extant Empire in the modern world, though Imperial Japan or Empire of Japan refer to a period between the Meiji Period and 1945 when the Emperor was more of an absolute monarch than a figurehead.]