It’s just not a cohesive entity of the kind that usually gets a name. We are talking about a semi-random collection of disparate locales, scattered all over the world, sharing nothing in common except that by historial accident their foreign affairs and defence are looked after by the UK. It’s like coming up with a name for all the countries whose capital city begins with N.
Suppose you had a name (say, “Greater Britain”) for an entity that includes London, the Falkland Islands and Montserrat? What could you possibly want to say about it?
If you went to Montserrat, you would say “I went to Montserrat”, not “I went to Greater Britain”. Similarly if a volcano erupted in Gibraltar or a ship ran aground in Port Stanley.
Anyway, if you insist, I think “British territory”, or “the UK and its overseas dependencies” would work depending on context.
And there are places like Puerto Rico where there is a confusing set of statutes and court rulings about its exact relationship with the United States. There’s a court ruling that it is not truly a part of the the US but is only a foreign possession, but effectively it is treated as part of the US, you can travel between the US and PR without needing to show a passport, and the passport and/or visa requirements for entering PR from, say, the Dominican Republic are exactly the same as traveling directly from there to the US afaik.
Equally, Gibraltar is subject to the laws of the European Union. Which member state do you think it is part of? That’s right, according to the laws which apply on both sides of the border, Gibraltar is part of the UK.
If you’re going to be pedantic, the UK is not governed by laws enacted by the UK parliament - laws are enacted by the Queen. For bonus points, an Order in Council on Gibraltar matters would be in the same form as one on UK matters, and be made on the advice of UK ministers. Contrast that to an Order made on say Canadian matters, which would be unambiguously Canadian.