Follow these steps...
In most cases the following should work...
1. Turn on Bluetooth
2. Connect to the Bluetooth device you want to rename
3. Control panel / Devices and Printers
4. Select the Bluetooth device
5. Hit Properties
6. Select the Bluetooth tab
7. Change the name of the device
8. Hit 'Apply'
9. Close the window
10. Switch off the Bluetooth device
11. Switch off Bluetooth on your Windows 10 machine
12. Switch Bluetooth on again on Windows 10
13. Switch the Bluetooth device on again
14. Reboot Windows 10
If that doesn't work...
15. Remove (unpair) the Bluetooth device
16. Pair the Bluetooth device
17. Repeat steps 1 to 14
Note that there are some devices that simply won't let you rename them, unfortunately...