The Welsh name for England—which is Lloegr—does not mean “Lost Lands”. This is an Internet myth, and a recent one too.
The myth was really only popularized in the 1995, with the Arthurian novel series The Warlord Chronicles. Which itself was derived from Dictionary of Celtic Mythology, published in 1992.
In turn, this likely stemmed from a misinterpretation of historian Geoffrey Ashe, who in 1990 wrote about the historical “loss of Lloegr” to the Anglo-Saxons. Ashe meant the event of losing the territory, but the dictionary author likely mistook this for a literal definition of the word itself.
What does Lloegr actually mean? There are many contentious theories.
The best guess is that it’s derived from the Proto-Celtic word “Lāikor”, meaning “Warriors”. The logic is that it’s related to the Old Irish word láech (“warrior”) and the Proto-Indo-European root for “war.”
Others disagree. Some say it means “Having a nearby border” or “Across the border” based on a reconstructed root like φles-okri-s (where okri relates to “edge” or “border”).
And some historians believe the name is tied to a specific tribe or location in the English Midlands, specifically Leicester.
A final, more obscure theory suggests a connection to the Latin word laicus (meaning “laity” or “people who are not priests”). The logic is that, in early Christian contexts, Lloegr might have referred to the “land of the laity” or “pagan lands” occupied by those who had not yet been converted, distinguishing the Christian Welsh from the then-pagan Saxons. However, most linguists find the phonetic transition from laicus to Lloegr to be unlikely.
But nobody knows for sure how Lloegre got its name—it is a mystery.