I'm listening to The History of Rome and as I move into the 3rd century and Rome, as a city, becomes less and less important to the Roman Empire the question popped into my head. If I were to walk up to someone on the outskirts of the Empire in say the late 200's and asked them where they live would they, as part of their answer, say "The Roman Empire"? What did an everyman living under Roman rule call / consider it?
It was more common to refer to people ethnically rather than in terms of a kingdom, although "Romans" often referred to themselves as Romani. So you had Etruscans, Etrurians, and so on which made up the body. All people could collectively be referred to as The Populus, however that's not really the name for the empire.
EDIT: I believe that, distinctly, populus refers to a man who is of fighting age, not just 'anyone'.
Older (BCE) coins can be found stamped with SPQR, "senatus populus que Romanus", i.e. 'the Senate and People of Rome' but this is obviously from very early on in the empire.
Shortest, cleanest answer is: There wasn't a proper name for the empire, but there was a proper identity shared by citizens used to identify themselves.
Why are all the comments getting deleted?