Mine is a tiny bedroom that has a sign on the door stating 'Quilting Studio'. However, due to the size of the room it is rather a tongue-in-cheek sign. Kind of like calling a one bed cottage the Ponderosa...
When I actually refer to it I tend to call it 'my room' - there is also 'his room' (with all of his computer stuff) and 'our room' which is our bedroom. So I am a bit literal. However, if I made an effort then I would try to call it 'my studio' LOL!