My room is currently called the "craft room" since it holds all my items from sewing, costume making, quilting, crocheting, looms (table, inkle, box), jewelry supplies, etc. However I refer to my future space as a studio because I hope for it to be larger, airier, and also house my floor loom. I find that the size/coziness of the space is what influences what I call it. My current space is quite full since I also have a twin bed for guests and half the closet is taken up with BF's army items. Due to lack of "open space" and the fact that it is actually a bedroom, it gets labeled "room"...now if it was larger, and maybe renovated to take away the "bedroom" feel to it, then I feel like I would consider it a studio.
I do like the term asylum. Because that is exactly what that space is for me. It is where I go to escape and recharge. It is where I go to focus on me and improve my state of mental health. I am an introvert which means I need to recharge alone. My space is where I can do that. So I say call it whatever gives you personal comfort.