Blazeking
Shiver as you hear my ROAR!!!
Now that you mention it, I can't recall where the Helheim name comes from apart from being introduced by Takatora when referring to the forest in a conversation. It's specifically "Helheim no Mori" so you can translation that as "Forest of Helheim", suggesting the whole world is called that, but I realize that doesn't quite work since the civilization has their own language. It more likely originates from Yggdrasill as a name for them to pin to it, since they both share the same mythology source.
They [Yggdrasil] got the name because they [Ryouma, Minato, & Sid] probably already ran into Demushu who told them it was Helheim while they were hiding that fact from Takatora; only giving him the name of the forest as their own "idea". They had a picture of Demushu before Kaito even ran into him and Takatora didn't know a damn thing about the Overlords then.