The label of a FAT32 disk (like many USB keys) is limited to 11 upper case characters. It's not very pretty. But it's very easy to give it a nicer name without having to format it to a different file system.
By default we have something like that :
But it's better to have that :
To do that you just have to create an autorun.inf file at the root of the drive :
[autorun]
label=Clé USB de Vincent
You can also hide this file to not be bothered by it :
PS: I didn't test how this work on Linux / MacOS.