"I would have thought that it was earlier than the 19th century, considering that it appears in Charles Cullen's (1787) translation of Francisco Saverio Clavigero's Storia antica del Messico (1780) - he uses the term Aztecas to describe them. I don't have the original handy so I can't tell you if it was in the original Italian, although I'm betting it was. In any case, I'd be surprised if Cullen was the originator of this term. Do you mean to tell me Fray Bernardino de Sahagún never once uses the term Aztec? I was under the impression that he was the one who gave the language that name in his descriptions of it."
Well don't I feel silly.
Still, no nation tracing its history to the Aztecs would call itself Azteca. That term was only popularized by the need to differentiate the native empire from the 'modern' nation descended from it.
Which isn't to say that the nation there would necessarily be called Mexico. In fact, given the fragile nature of Mesoamerican empires, it would probably be called something else depending on which group was in power when the region finally stabilized after its encounter with European technology and culture. Huaxtecatl, Tlaxcatl, who knows?