We first see the new shape of Guts and Casca's son in volume 28, while they're on the beach. The title of that episode (#238), is 月下の少年 (GEKKA NO SHOUNEN), which translates to "the boy under the moonlight".
Since the boy remains nameless to this day, that's how we came to refer to him. The construction of that phrase is simple: 少年 (SHOUNEN) means "boy". 月下 (GEKKA) refers to being illuminated by moonlight. の (NO) connects the two.
Rather topical, what with episode 364 coming out next week.