No , there is no such setting in PRE . But you can always change name of the clip while export .
As has been said, the default Frame Name cannot be set, and I feel this is a bummer, but is the way that it is.
To get around this, sort of, I will come up with a name that suits me, and Copy that to the Clipboard. Then, when doing the output Frame Image, will just Paste that name and increment, so that I will have something like this, "My_Frame_01," "My_Frame_02," etc.
I like more descriptive names, whether it's for a Freeze Frame, or a Title, and spend a good bit of time Renaming Assets to suit me and my Project.