The Romans did not make up the name Palestine. The name is already mentioned by Herodotus in the 5th century B.C., hundreds of years before the Romans conquered that area, and it doesn't appear that Herodotus made up the name--it was already in use.
I don't know when the Philistines lose their separate identity but I am not aware of any passage in the Bible where the Israelites wipe them out. In Zephaniah 2.5 there is a reference to "Canaan, the land of the Philistines."