I assume you are referring to the text displayed during Splunk startup, as in this:
Splunk> Finding your faults, just like mom.
Checking http port : open
Checking mgmt port : open
Checking configuration... Done.
Checking index directory...
Validated databases: _audit _blocksignature _internal _thefishbucket history main summary
Checking conf files for typos...
All preliminary checks passed.
Starting splunk server daemon (splunkd)...
Starting splunkweb... Done.
If you get stuck, we're here to help.
Look for answers here: http://www.splunk.com/base/Documentation
The Splunk web interface is at http://foo.bar.net:8000
This does not appear to be configurable, and (at least on Linux) is based on the value returned by the hostname command.