I ran into a similar issue when I was trying to figure out how to localize the key names into other languages. Turns out that the name of each key is set directly in the engine’s source code. If you want to change the key name or localize it, you’ll have to find it in the source code and change it there. Or, better yet, change it to a reference from a string table. 
EDIT: If you’re not friends with C++, you could probably implement a system using a container variable where you would have the names of each key in the engine as the index, and then your desired text label beside it. E.g.
Index (Engine Key) | KeyName (Desired Name)
Gamepad Left Thumbstick Up | Left Stick Up
Then:
- Listen for the user to press a key.
- Get the key that the user pressed
- Find that key in the container variable and then set your Input Key Selector to your desired text associated with that key (KeyName).
It would probably get more complicated if you want to do two-button combinations, but I’m sure you get the just of it.