I think it says a lot about a dungeon when you don't even bother to name the thing.
You see, when you give a dungeon a nifty name, like "Undercrypts of the God-whore," or "Deepest Deeps of the Lord of the Deep," you're already at the very least implying that there's a story of which the dungeon is a larger part. This may not even be true, but the implication is there.
On the other hand, when the dungeon has no name, you're declaring: I have no preconceptions about this dungeon and how it will fit into my campaign. There's no over-arching storyline here, no Big Bad that somehow fits into the campaign in a meaningful way, no artifact specifically intended to end up in the players' greasy little hands. No, a nameless dungeon generally says one thing, and one thing only: this place is full of monsters, and its sole purpose for existing is for you (the players) to pillage and loot the place - or die trying.
And there is - in my opinion - absolutely nothing wrong with that sort of declaration.