Do you mean renaming the activity profile on the watch, or renaming the session (activity) after syncing in Garmin Connect? In the first case, change the Activity Name pattern in GC Web settings (https://connect.garmin.com/modern/settings/displayPreferences) to "Location & Device Activity Name". In the second case, try force-stopping and restarting the app, or clearing tis cache, or just change the name in Garmin Connect Web.
Create a copy of the Pilates activity profile, and rename it as needed. If still not possible, then I recommend asking on the forum for your watch model, since I suspect it is something specific to your watch, and unrelated to the Garmin Connect app (unless you mean how the activity name syncs to GC, in which case my previous advice about the naming pattern applies).
