Click on the "Exchanges" button in the top-bar menu or visit here.
By doing so, you will see your connected exchanges at the top of the page.
Click on the connected exchange you would like to edit the name for and click "EDIT KEYS" on the top right of the site.
The following modal will render.
Insert the new name. By clicking on "EDIT" button you will edit the name of your API key.
IMPORTANT: the API key name has to be unique.