Good question. All my devices are connected using AirPort Express, so I can name each zone individually in Airport Utility. Not sure if you can do the same when AirPort is built into the device, sometimes (like Apple TV) it has its own name.
On the B&W Zeppelin Air set-up app you can name each unit individually, if you had several around the house, but this won't necessarily apply to every AirPlay product as each has a different set-up procedure. Gear4 AirPlay docks can also be renamed.