What is the "th", "python", "python3", "java", etc... used in front a command to run a script, called?
It's just a shell command. Not any different from cd or grep, etc.
In the case of Python, the python command invokes the Python interpreter, starting either an interactive session, or, if a file is specified, running the file through the interpreter. But it just tells the shell something to do.
In Lua with Torch, you use "th" to run a Lua script. In Python, you use either "python" or "python3" to run a python script. In Java, you use "java" to run a java class script. 
What is this word in front the commands, actually called? I tried to search for the name myself, but I couldn't find anything.