There are two things you might be talking about. I’ll cover them both.
CHANGING STUDIO NAME
You can change the name of your studio (shown in the title bar and in your dashboard) by going into the Studio Manager and editing the title. This forum post explains how to change all the copy of your studio (including the name) that in more detail with screenshots.
CHANGING STUDIO DOMAIN
If you want to change domain name of the studio (the name in the URL bar), you need to first acquire a domain via NameCheap, GoDaddy, or another web-hosting company. Then connect that domain in your studio. The process is explained step by step in this guide about hosting studios at custom domains.