FFs I-III do not not reveal the names of their respective planets.

FFIV takes place on Earth.

Quote Originally Posted by FFIV script
FuSoYa: In eons past, a planet between Mars and Jupiter verged on
extinction. The survivors escaped by ship to the blue planet.

Cecil: The blue planet...? Our home?

FuSoYa: Yes, Earth. But because the people of Earth were still
evolving, the survivors created another moon, where they now sleep.
Quote Originally Posted by FFIV Advance script
Cecil: The Lunarians?

FuSoYa: Many, many years ago, a small planet between Mars and Jupiter was on
the verge of destruction. Species of the planet escaped on a ship to the blue
planet, Earth. However, the species was still evolving, and created another
moon where they could sleep a long, long slumber.
No specific planet name appears in FFV, but the OAV "sequel," Legend of the Crystals, calls it Planet R.

FFVI does not give the name of the planet.

No specific name appears in FFVII, but later SE documents, particularly those relating to Advent Children, call it Gaia.

FFVIII does not give the name the planet.

FFs IX, X, and X-2 you already know.

FFXI takes place on Vana'diel.