Parece que Westeros é o nome dado à terra pelos próprios Westerosi. Eu ainda tenho que descobrir de onde veio o nome, embora oeste para Westeros, leste para Essos e sul para Sothoroyos parece plausível.
No entanto, note que não é chamado Westeros para todos, o chamado Dothraki é "Rhaesh Andahli" e Viserys chama de "nossa terra".
Somewhere beyond the sunset, across the narrow sea, lay a land of green hills and flowered plains and great rushing rivers, where towers of dark stone rose amidst magnificent blue-grey mountains, and armored knights rode to battle beneath the banners of their lords. The Dothraki called that land Rhaesh Andahli, the land of the Andals. In the Free Cities, they talked of Westeros and the Sunset Kingdoms. Her brother had a simpler name. "Our land," he called it. The words were like a prayer with him. If he said them enough, the gods were sure to hear. "Ours by blood right, taken from us by treachery, but ours still, ours forever. You do not steal from the dragon, oh, no. The dragon remembers."
A Game of Thrones, Daenerys I
Pelo exposto, parece que aqueles em Essos, pelo menos aqueles nas Cidades Livres, também se referem a Westeros como Westeros também.
Os Filhos da Floresta não o chamam de Westeros, embora mencionem que os homens o fazem, talvez significando que o nome poderia ter vindo dos Primeiros Homens.
No entanto, a partir de uma citação posterior de Samwell, parece que, mesmo que os Primeiros Homens tenham chamado a terra de Westeros, não há lembranças escritas dela."Gone down into the earth," she answered. "Into the stones, into the trees. Before the First Men came all this land that you call Westeros was home to us, yet even in those days we were few. The gods gave us long lives but not great numbers, lest we overrun the world as deer will overrun a wood where there are no wolves to hunt them.
A Dance with Dragons, Bran III
"The Others." Sam licked his lips. "They are mentioned in the annals, though not as often as I would have thought. The annals I've found and looked at, that is. There's more I haven't found, I know. Some of the older books are falling to pieces. The pages crumble when I try and turn them. And the really old books . . . either they have crumbled all away or they are buried somewhere that I haven't looked yet or . . . well, it could be that there are no such books, and never were. The oldest histories we have were written after the Andals came to Westeros. The First Men only left us runes on rocks, so everything we think we know about the Age of Heroes and the Dawn Age and the Long Night comes from accounts set down by septons thousands of years later. There are archmaesters at the Citadel who question all of it. Those old histories are full of kings who reigned for hundreds of years, and knights riding around a thousand years before there were knights. You know the tales, Brandon the Builder, Symeon Star-Eyes, Night's King . . . we say that you're the nine hundred and ninety-eighth Lord Commander of the Night's Watch, but the oldest list I've found shows six hundred seventy-four commanders, which suggests that it was written during . . ."
A Feast for Crows, Samwell I
Os Andals vieram para Westeros da Essos, então poderia significar "Oeste de nós" como você diz.
For thousands of years the Andals abided in Andalos, growing in number. In the oldest of the holy books, The Seven-Pointed Star, it is said that the Seven themselves walked among their people in the hills of Andalos, and it was they who crowned Hugor of the Hill and promised him and his descendants great kingdoms in a foreign land. This is what the septons and septas teach as the reason why the Andals left Essos and struck west to Westeros, but the history that the Citadel has uncovered over the centuries may provide a better reason.
The World of Ice and Fire, Ancient History: The Arrival of the Andals
Quanto a uma razão fora do universo, ou a intenção de Geroge, sobre o que Westeros significa, não encontrei nada. Eu vou atualizar se eu fizer isso.