Region and kingdom names anchor a setting. They often come from geography (the Sword Coast, the Ashen Wastes), a founding people or ruler (Cormyr, Aglarond), or a defining event. A strong region name sets the tone for everything that happens there.
Useful patterns: "[Adjective] [land-word]" (the Silver Marches, the Frozen Reach), a possessive after a founder, or an evocative single word. Aim for something that sounds lived-in — like a place with history behind it.