With normal PLECS Scopes, you can change the signal name from within data window. From the PLECS Help: "When the cursors are activated, the data window appears if it was not already open. By default, the data window displays two columns in which the time and data value of each signal at the position of each cursor are given. The signal names are also displayed and can be modified by double-clicking on the name."
However, with XY plots you cannot activate the data window in a similar manner. One workaround is to take advantage of the fact that the signal names are defined by component name prior to the scope. An example is shown below, but you could conceivably implement this in several other ways.