Simply put, the reason for Apple retaining the "OS X" nomenclature is marketing.
There is no good financial reason to change the name.
Can you imagine an Apple product titled "OS Y"? Or perhaps "OS XI"?
These options would be a logical progression, and quite frankly they suck.
I'm sure the good folk at Apple will update the name, when an appropriate marketing opportunity presents itself.
Perhaps after a year or two of convergence we'll see "Apple iOS" . . . . Nahhh, "OS X" is still cooler

Besides, after a few iterations you'd end up with "Apple iOS X", so why bother?