Hmm...guess there's more than one definition of "world." For example, if you're considering the planet to be the world, we call our world "Earth." Or if you simply mean all the land with all the continents and countries combined, it would be similar to Azeroth in "World of Warcraft." There are different country and continent names but the overall world is called Azeroth. Or you could be talking different dimensional worlds, like they seem to have in Suikoden and many other fantasy stories.
But whatever the case you mean, nobody in the games seems to have a name for the Suikoden universe as a whole. Pretty much, they always refer to the country they're in at the time or which country they'll be going to. The big points about the games are wars and individual countries fighting wars.
Hello Suikoden-type people:D