This is an useful idea. But lets explore it a little. First, it is not exactly a name, a name is a reference to an object, it is more like a lable.
With named loops you could break or continue other than only the inner most loop. I'm not sure about a syntax, though.
That is the useful part, and I will show why I think your syntax is not the best for it.
for x in X as loop_a:
The 'as' keyword (not a keyword untill 2.6) is used to give a name to an object. Here, the lable 'loop_a', I think, should not be a name to any object.
Second, it gives the impression that with '... X as loop_a' you are giving X the name 'loop_a'. It reads that way and it is how 'import ... as ...', 'with ... as ...' works and, in Py3k, how 'except ... as ...' will work. Your syntax is an exception to the 'OBJ as NAME' pattern, and could be misleading. The problem is, I couldnt think yet of any better syntax.
Besides, the loop label is very usefull, and could be used in while too if someone find a better syntax.