I suspect they fell prey to the B5 syndrome: running out of names for governments, so they just started casting at straws for names they haven't used yet.
And by that I mean: On B5, all five major governments had to have different names of course. Some of them made a form of sense: Earth ALLIANCE. Centauri REPUBLIC. Some just sounded kind of weird: Narn REGIME. And some made no sense at all: Minbari FEDERATION (federation? Really? In a government with nothing but Minbari?), Vorlon EMPIRE (that makes even less sense...what is it about the Vorlons that qualifies as an empire?
As for Risa: Like I said, of course everyone KNOWS that Risa is a pleasure planet. But that is Risa's industry
, not its government - they shouldn't have to advertise that they're a pleasure planet, because everybody already knows they are one. It's not as if it's a secret, after all.
As for what to call their planetary state, they could have come up with more realistic and non-threatening words to use, like 'Association' or something like that. Calling their government a 'Hedony' just makes it sound like some 70's porn flick. Risans don't spend literally every
waking moment having sex, do they? (I mean, it's not like they're Deltans...