Supposedly, he will be using the Arsenal name, which is one of the three primary monikers that Roy Harper used in the comics.
The other two were Speedy—seemingly given to Thea Queen instead, considering that is her pet nickname that Ollie calls her on the show—and Red Arrow.
Personally, I was hoping that Red Arrow would be the identity Roy Harper uses on the show. Not only is it more simplistic and fitting in this universe where Oliver Queen himself has been The Hood and The Arrow, but it also opens up the possibility that someone else takes the Arsenal name.
Who would that be?
Easy: John Diggle.
Diggle was an original creation for this series and has no firm rooting in the comics. Since he comes from no foundation, the showrunners are able to do whatever they please with him. Considering how some canonical elements have been changed in the show already (Malcolm Merlyn being more of an adversary than Tommy, who was never a friend of Oliver's in the comics to begin with; the whole crazy trichotomy with the addition of Sara Lance, Laurel Lance, and Dinah Lance; etc), it wouldn't be that much of a stretch to imagine changing who Arsenal is.
Plus, there is an obvious difference in weaponry between the Red Arrow and Arsenal characters. The former relies predominantly on—you guessed it—red arrows. The latter tends to use guns, explosives, and so on. If Roy is using red arrows and Diggle has shown numerous times to be more proficient and comfortable with a pistol than anything else, then why not just give the Arsenal name to him? His military background alone should suffice for a justification.
That still is a possibility, as Entertainment Weekly did not have any sound bites or statements with their picture that confirm the codename Arsenal will be used. There is a chance that it is just speculation on their part and Red Arrow will be the one that the show goes with.