Check out the [`wp_cookie_constants()`][1] and [`ms_cookie_constants()`][2] functions, to see available cookies.

We can try this in the `wp-config.php` file:

    // Here we just simulate how it's done in the core
    define( 'COOKIEHASH',           md5( 'http://example.tld' )    ); 

    // Then we override the cookie names:
    define( 'USER_COOKIE',          'wpse_user_'      . COOKIEHASH );
    define( 'PASS_COOKIE',          'wpse_pass_'      . COOKIEHASH );
    define( 'AUTH_COOKIE',          'wpse_'           . COOKIEHASH );
    define( 'SECURE_AUTH_COOKIE',   'wpse_sec_'       . COOKIEHASH );
    define( 'LOGGED_IN_COOKIE',     'wpse_logged_in_' . COOKIEHASH );
    define( 'TEST_COOKIE',          'wpse_test_cookie'             );

or using PHP 5.6+ :

    // Then we override the cookie names:
    const USER_COOKIE        = 'wpse_user_'      . COOKIEHASH;
    const PASS_COOKIE        = 'wpse_pass_'      . COOKIEHASH;
    const AUTH_COOKIE        = 'wpse_'           . COOKIEHASH;
    const SECURE_AUTH_COOKIE = 'wpse_sec_'       . COOKIEHASH;
    const LOGGED_IN_COOKIE   = 'wpse_logged_in_' . COOKIEHASH;
    const TEST_COOKIE        = 'wpse_test_cookie';

where we must adjust the site url `http://example.tld` to our needs.


But I also wonder, as @PieterGoosen, why you need to change it.



  [1]: https://developer.wordpress.org/reference/functions/wp_cookie_constants/
  [2]: https://developer.wordpress.org/reference/functions/ms_cookie_constants/