To rename your events according to note names, select all the events and then select Edit / Rename Events from LIst.
Copy the note names from a list of note names such as: The Glass Armonica - Benjamin Franklin's Magical Musical Invention
Paste the note names into column 1. Click on Rename. All selected events are renamed.
Cycle markers may not be the best way for exporting the events. Instead use Export / Selected Events. Type a name in the ‘Name’ field’. Set up a naming scheme in the Naming Scheme window… for example, drag ‘Name’ and ‘Event Name’ into the Results field. Set the destination folder and all other parameters as required. Click on Export. All selected events are exported as audio files named according to the chosen naming scheme.