Slipup!!! Yes Iran was called Persia until the ayatollah Khomeini overthrew the Sjah. Yes, in 1938, Thailand did not exist either. It was a French colony, the whole place including Vietnam, Laos etc was called "Indo Chine".
Thailand was never a colony of any European Power. It did cede some vasel states in Laos and Cambodia to France, but maintained its independance. it was known as Siam until 1939 when the name was changed to Thailand.
Oh, for god's sake... here's how it is!! Iraq has been called Iraq for very long but was under British control until 1932 when it gained its independency. Persia took the name Iran (an ancient name) 1935. Thailand, however, didn't take the name Thailand any time before 1949, so there's a slip-up all-right! But what Ziggi Stardust talks about.. I have no idea. Thailand has never, formally, been a colony - neither French nor British - though France and Britain had big influence on Siam.