Beings with no Physical appearance? I have heard about the beings called Brahma who do not have a Physical appearance.But they have different names. How does the identity factor come into this scenario. 

Is there some Suttas or texts explaining their lives?
Brahma in the rupa-loka have physical appearances. Brahma Sahampati resides in this in a rupa-loka.

In arupa-loka you have no physical form and only one sense faculty which is the mind hence you might not know who else is around you in which case you may not need a name. But also it might be possible for you know though psychic abilities in which can you can still identify others around you in which case you might need to use names. A name is just a label on a person (or animal) to identify or distinguish it from others. This is just my conjecture.

Aggañña Sutta and Kosala Sutta 1 deals with this subject matter but there is no reference to names. Also see: Gods and the Universe in Buddhist Perspective: Essays on Buddhist Cosmology and related subjects by Francis Story