I guess this depends how far back your looking.
If you go back to Saxon times they are all part of the kingdom of Mercia, which covered a large part of middle England.
Looking at the more local names for Warwickshire, it was split, so South Warwickshire, that is south of Coventry was Feldon and Coventry and North / North West over to include Stratford was called Arden (Forest of Arden).
Sorry I only know about Warwickshire, for local names.
Mercia was annexed into the shires in the early 10th century by the Saxons, So It's been Warwickshire, Northamptonshire and Oxfordshire for some time.
Hope this helps