Well, they haven't really changed the name, per se. Products like this always have an internal code name so they have something to call it while it's in development, before the marketing people have decided on a name. Wii is the first consumer name it's had.
If I remember right, which is very likely not the case, the Nintendo 64 was the Nintendo Ultra 64 up until weeks before launch. This wasn't the change from the code name to the consumer name, e.g., Revolution --> Wii, Longhorn --> Vista, etc.. The code name for the Nintendo 64 was Dolphin.
If you really think about it, nobody knows the name Wii yet. Not really. There hasn't been a single ad -- print, tv, online, nothing. The only people who know about the Wii are hardcore gamers, and a name change would not confuse ANY of them. It would merely make them happy. The vast majority of the world has never heard about it. A name change wouldn't cause them any more trouble than the time and money already spent on the name "Wii". But anyone who's studied even basic economics knows the danger of sticking with something solely on the strength of sunk costs.