The only way to do it is using either third party tweak programs or editing the registry.
Don't know any tweak programs off the top of my head (perhaps HTweakC would work for you) but you can get a great free registry editor from
www.phm.lu - look in the pocket pc software area.
The key you need to edit is in:
HKEY_CURRENT_USER\Software\Microsoft\Bluetooth\Set tings
Change the LocalName key to something more...likeable and soft reset ;-)
Have fun,
Smiffy.
Oh, and I accept no responsibility for you messing your device up if you change anything other than exactly what's said here...blah blah blah...
Just make sure you've sync'ed everything up, got backups, etc. so if you do screw something up, a hard reset will sort it out.