Its because your formatting via your camera so its resetting them to your cameras details. If you format via your computer you can change the name. Just right click your drive via my computer and click format. Then just change the volume name and click format.
Be aware that it is not unknown for SD cards that are formatted on a pc (or Mac) to give trouble - normally failure to record the image correctly or completely. Not sure if this is a Nikon thing or whether it happens with other brands too.
First time I heard about that, but then again I don't format cards via my computer.