Good catch. So in Jesus' time it was Judea. I knew Palestine was a Roman designation, but I wasn't sure when it started.
Same here, so I started checking. Quite interesting; and fishtank is right:
EVERY Christian should refuse to use the word “Palestine” when they are referring to any Biblical event.
It’s inappropriate, wrong, unscriptural and it’s pandering to the enemies of Israel.
From Fausset's:
Pompey's lieutenant, M. Aemilius Scaurus, 64 B.C., interfered in the contest between Aristobulus and Aretas king of Arabia Petraea, who supported Hyrcanus, whom Aristobulus had driven from the high priesthood. Next year Pompey himself took Jerusalem (Josephus, Ant. 14:2-4: B. J. 1:6, section 7). Thenceforward, Judea was under Rome. Hyrcanus was titular sovereign and high priest, subject to his minister Antipater, the partisan of Rome. Antipater's son, Herod the Great, was made king by Antony, 40 B.C., and confirmed by Augustus 30 B.C. (Josephus, Ant. 14:14; 15:6). Roman soldiers were quartered at Jerusalem in Herod's time to maintain his authority (Ant. 15:3, section 7). Rome exacted tribute and an oath of allegiance to the emperor as well as to Herod (Ant. 17:2, section 2). On Archelaus' banishment, A.D. 6, Judaea became an appendage of Syria, governed by a Roman procurator residing at Caesarea. Galilee was still under the Herod's and other princes whose dominions and titles successive emperors changed from time to time.
And from Wikipedia:
Judea province was the scene of unrest at its founding during the Census of Quirinius and several wars were fought in its history, known as the Jewish-Roman wars. The Temple was destroyed in 70 as part of the Great Jewish Revolt resulting in the institution of the Fiscus Judaicus, and after Bar Kokhba's revolt (132–135 CE), the Roman Emperor Hadrian changed the name of the province to Syria Palaestina and Jerusalem to Aelia Capitolina, which certain scholars conclude was done in an attempt to remove the relationship of the Jewish people to the region.[2][3]