Or not, not, not true!
The First World War, for example, was named as early as 1918 per:
http://qi.com/infocloud/the-first-world-war
British Officer Lieutenant-Colonel Charles à Court Repington recorded in his diary for 10 Sep 1918 that he met with a Major Johnstone of Harvard University to discuss what historians should call the war. Repington said it was then referred to as The War, 'but that this could not last'. They agreed that 'To call it The German War was too much flattery for the Boche.' Repington concludes: 'I suggested The World War as a shade better title, and finally we mutually agreed to call it The First World War in order to prevent the millennium folk from forgetting that the history of the world was the history of war.' Between the wars most people did refer to the war as the Great War, even though that had originally referred to the Napoleonic War. In the US, it was ‘The World War’.
Or as late at 1933:
http://www.theguardian.com/lifeandstyle/2014/feb/19/who-named-first-and-second-world-wars
In English, the term "First World War" was used in the book The First World War: A Photographic History, edited by playwright and war veteran Laurence Stallings and published in 1933.
Ok, mind blown - wow!