The Byzantines not call themselves Byzantines; they considered themselves Roman. See a helpful answer on Reddit¹ which notes an episode in which the Byzantines imprisoned an envoy for calling their emperor that of the Greeks. It would of course be obtuse to call the Byzantine Empire the Roman Empire, but the renaming was after 1453.
¹ https://www.reddit.com/r/AskHistorians/comments/ak435w/did_t...