One good place to do so is using the middleware. Just add a generic middleware to your module, call NameThreadForDebugging and then forward the request in the chain using Next(Context).
procedure TForm4.XDataServer1GenericRequest(Sender: TObject;
Context: THttpServerContext; Next: THttpServerProc);
begin
TThread.NameThreadForDebugging(SomeName);
Next(Context);
end;