Sure, it's possible. Here are the steps:
Go to the Main tab and click Customize Holidays to open the existing holiday database.
In the new window, you will see groups of holidays for several countries. First, select a country on the left, then choose the holiday you want to rename and click the Edit button.
Let's change 'Mothering Sunday' to 'Mother's Day'. Type in the new name in the field and click OK to apply the changes. Click OK again to close the database and see how the holiday name changed in the grid. That way you'll get your personal calendar with custom holiday names.