Isn't that really the House of Hanover? During World War I it was rather awkward for the royal family of Great Britain to have a German name when Britain was at war with Germany.
NOTES: Christened: Albert Edward; called, "The Peacemaker" Reign: 1901-1910; It is not always realized that Queen Victoria was the last sovereign of the House of Hanover and King Edward VII was the first of the House of Wettin or the House of Saxony. Edward VII, in an outburst of anti-German feeling engendered by the First World War, changed the name of his "House and Family" from Wettin to Windsor in 1917. Edward gave his name to the Edwardian period.
When Queen Victoria died in 1901, her son the new Edward VII already belonged to another house - Saxe-Coburg-Gotha. And it was the House of Saxe-Coburg-Gotha that was renamed Windsor in 1917 under George V.
In fact, both the House of Hanover and Saxe-Coburg-Gotha survive to this day. The House of Hanover descended from the Duke of Cumberland (George III's son) and the current Prince Ernst August is the only direct male descendent of George III. Saxe-Coburg Gotha is descended from Prince Leopold's son Prince Charles Edward (cousin of George V). Interestingly, the House of hanover still maintains good and close relations with the current British royal family, but Saxe-Coburg-Gotha isn't as Charles Edward became a Nazi SS-Waffren member when Hitler came on the scene.
It was King George V (1865-1936), not his father King Edward VII (1841-1910), who changed the name of the royal family to Windsor in 1917.