User blog comment:B214/Question and Answers 6/@comment-3285616-20161121005601/@comment-9595671-20161121032417

I've watched the dub, and here's how I see it. When Rias asks him near the end of Season 2 if there was a place for her in his harem, he says "your my master" in response. In response her thoughts have her thoughts say "If I'm really the favorite, then why does I feel the furthest away from him?"

Only two episodes prior, Issei even thinks to himself that he's sure she'll end up with someone else. So my best bet is when they get to that scene, Issei will answer a similar way. So the dub will likely represent not using her name in the form of Issei being unable to view her as anything more than his master when asked a question implying if they could be more.