There are two ways to change the player name:

1. From the store, buy the “Commander Name Change” item. After purchasing, it will be directly added to your backpack; from your backpack, click on the item, choose to use it, and change the commander name.
Note: Commander name is the base name.

2. Click on the avatar, then on the pen beside the commander name, and pick the name you want. If you don't have the "Commander Name Change" item, you can still change your name with the cost of 200 gold.
Note: New players get the chance to change commander name free once; after the tutorial, you can directly change the name.