Pete is correct. A quirk of the ESP8266 (and all of its derivatives) is that it remembers your wifi credentials independent of any code you upload to it.
If you want the device to start in the OFF state, just comment out these two lines in setup:
As for what to call the device with Alexa, you can call it whatever you like. That's the beauty of it. Simply go into the Alexa app on your phone or tablet, and under "Smart Home", click on "Create Group." The word "group" is a bit of a misnomer, since a group might contain just one device. Anyway, name the group whatever you want to (lamp, tv, living room, etc), and under the group heading, tick the box next to each of the devices that you want to control with that group name. For example, you might name your group "bedroom lamp." Now just tick the device that's connected to your bedroom lamp, and when you ask Alexa to "turn on the bedroom lamp," and she will. You might create another group called "all the lights," and tick the boxes for every device in your home that's connected to a light. Then, when you're headed to bed, you just ask Alexa to "turn off all the lights," and every light in the house turns off.
The great thing about this is that you can create all sorts of groups, and you get to choose the language you use. The only limitation is that you have to use the words ON and OFF to define the state.