There are some interesting ideas coming up in this thread.
First, what exactly is a name for? Is it necessary to have a country name? What advantages would it have, and how would it be used? And perhaps more importantly, who would use it?
My take on things is that perhaps the shadow elves really don't have a name for their own "country". One possible reason for this could be that they are pretty much uncontested in their own lands - or rather, they are uncontested by other countries; there are of course monsters all around. Things brings up another possible reason: perhaps the shadow elves view their territory as a series of pockets rather than a single, continuous country. This would make sense given the nature of their underground realm.
And then there's the shadow elf xenophobia to think about. They are so isolated from other intelligent civilisations that they probably feel no need to refer to themselves as a country. Rather, they will talk about the individual parts of their territory - the City of the Stars, Losetrel, Alfmyr, etc. This idea is certainly borne out by the descriptions and references in the Gazetteer itself.
This just leaves the surface nations, and how they refer to the "country" of the shadow elves. Perhaps they just don't. Perhaps they don't consider the underground realm of the shadow elves to be a country at all - it certainly is quite different from what we would normally consider a country. Add to that the extreme lack of knowledge about it, total lack of ambassadorial and even trade relations with it, and there seems very little reason for the surface dwellers to have a name for the territories of the shadow elves either. It seems likely that they would refer to "the shadow elves" more often than anything else - often as a sort of elusive, almost mythical concept rather than a real country of living, breathing elves.
All of this brings me to wonder: did the writers of GAZ13 deliberately
leave the shadow elves without a name for their country? All the names I outlined in the first post of this thread are not really names at all; they either come from the text (without capitalisation, used as descriptive terms), from maps, or in the case of "Shadowlands" from a section heading. Most of us seem to prefer Shadowlands (which does seem the most like a name, after all), but the fact is that it's nothing more than a throwaway section title; using it as the name for the shadow elves' country seems like a bit of a stretch of the authors' original intentions.
Fascinating stuff. Even after almost 20 years, GAZ13 continues to make us think.