You may want to create an idea on this. It should be possible to change it at least if no record has been created.
I agree with Greg. It's not currently possible to change the api name once you've created the object, so you would need to create a new one with the correct api name. You should definitely submit an idea on this though, as that will allow others to add their voice as well.
I believe you will have to delete the wrong one and create a new one.