Is there a difference between what will be with Yehudah and Yisrael?
Malbim: Yisrael refers to the 10 tribes. It says about them Yishkon la'Vetach, for they did not return in Bayis Sheni.
Who will be called "Hashem Tzidkenu"?
Rashi: Hashem, who will be Matzdik us 1 in Mashi'ach's days.
Radak: People will call Mashi'ach so, for in his days Hashem's Tzedek to us will be constant without ceasing. We find that Moshe called a Mizbe'ach "Hashem Nisi" (Shemos 17:15), Yakov called a Mizbe'ach "Kel Elokei Yisrael (Bereishis 33:20), each according to the matter; "v'Shem ha'Ir mi'Yom Hashem Shamah" (Yechezkel 48:35).
Radak citing Targum Yonasan: Mashi'ach, for he will make us meritorious in front of Hashem in his days.
Malbim: Yisrael will be called so, for (a) Hashem is [the source of] our virtue. This is like "Elokei Tzidki" (Tehilim 4:2) - my virtue is from Hashem. (b) Just like Hashem exists forever, so Yisrael will always be Tzadikim and saved via Hashem.
Usually Matzdik means to justify. Perhaps here it means that He will make us virtuous (PF) - "v'Higi'u Shanim Asher Tomar Ein Li Vahem Chefetz" (Koheles 12:1) are Yemos ha'Mashi'ach, when there will not be merit or sin (Shabbos 151b), for there will be no desire to sin - Ramban Devarim 30:6.)
This is repeated below (33:16), but there it says that Yehudah will be saved, and Yerushalayim will dwell serenely, and it will be called Hashem Tzidkenu, and it omits "Zeh Shmo"!
Malbim: There it discusses if we do not merit to bring redemption early (refer to 23:5:6:1). It does not say that Yisrael will dwell serenely, for all the Shevatim will not be gathered immediately; only Yehudah and Yerushalayim will be saved [initially]. The gathering [of the other Shevatim] will be delayed until Yerushalayim is rebuilt. It does not say Zeh Shmah, for Yerushalayim did not merit to have the name beforehand. From then and onwards it will be called so 1 . Here it discusses if we merit; Yisrael already acquired this name via merit.
This is unlike Radak (33:16), who says that the city is not called Hashem Tzidkenu. Rather, its residents will say so. (PF)