IIRC, the only time in the game that Nihilus' name is actually mentioned is in the description of the Nihilus mask.
I don't think his name is ever mentioned at any point during the conversations of the game. Now, obviously neither Atris nor the jedi masters know anything about him, but both Sion and Kreia do and could have mentioned the name. But they don't, and it probably happens to add to his mystery, since it plays to some of the unwritten rules of horror, where the undefineable or unknownable is often called upon to stir up tension, usually by referring to either a "thingless name" or a "nameless thing". Nihilus speaks to both in a sense. He has "thingless name" because the name literally means nothing - there is no substance to this entity, and you have no idea of his goals or thoughts, if any. By not ever mentioning his name, he also becomes a "nameless thing" dramatically, since he is omnipresent in the game - everybody talks about him. Kreia tells us how he must be stopped or he will consume the galaxy, Visas does pretty much the same, and the masters tell us he will consume the jedi and threaten not just the galaxy but the force itself - Nihilus is in every corner of the plot, but he never appears in person, nor is he ever defined through a name, which adds to the mystery and horror that surrounds him. He has been criticised for that reason for being an un(der)developed and boring character, but in my book it's good writing and the critics miss a lot of Nihilus' flavour and character. Yes, he's undefined, but he has to be - you cannot define a force of nature. And his presence is essential to the Exile's problem, and the connection between them is always there between the lines. I really liked Nihilus - as a Sith Lord he was far more scary than brutes like Sion or Malak.
no don't get me wrong he IS way spookier and more interesting than sion or malak, at least malak, i mean he is a sith that really can't control his power and thats never happened before, sion thrives on controling his power.