I was just wondering if it was ever established either in the show or the comics, what the world (or pocket dimension) Discord lives in is called?

Not really. Though I'm sure that there is a cannon name for it, nothing has been established. Close that I ever heard was Discords Relm or Chaos tell, brief in comics I think

The wiki calls it Chaosville. I think it was mentioned in a book or something?

6872625
I like to imagine that it’s called serenity just to fuck with people

I know its Chaosvile, but I have been calling it The Discorded Zone because it reminds me of the Twilight Zone intro.

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6872920 Well, personally I like Chaosvile over Chaosville. The latter feels like it is merely trying to refer to Ponyville in a cheesy manner, while Chaosvile actually seems more like something Discord would have come up with.

6872699
That's actually a very deep answer.
There is a certain liberation to be found in the absence of order. If you are unbound by the natural laws of the universe: that's basically True Freedom.