They still called it the Roman Empire, even after the city of Rome stopped being a part of it (after 752 A.D.). In fact, Greek speaking people were calling themselves Romans until 19th century.

To the inhabitants it was the Imperium, the Roman Empire, throughout. In Latin, fully, this is Imperium Romanorum. Heraclius formalised the status of Greek as the official language in the 7th century, but the inhabitants of the East already used it as lingua franca. They referred to the Empire as Basileia tōn Rhōmaiōn. The Greeks referred to themselves as Rhomaioi (Romans) as long as the Empire was around - until 1453. Basileia, derived from Basileus - once a title for Alexander the Great, once a title which meant King, but now taken to mean Emperor, in the absence of any other suitable Greek translation for the word.

Colloquially, the Byzantines would refer to their state as Rhomania, though it is unclear if this was the case in the early Empire as well.