Yes, the Italians created the colony of Eritrea in the 19th century and named it with its current name:
History
The first Italian establishment in the area was in 1869 when the Rubattino Shipping Company purchased Assab. The Italians expanded their territory in 1885 and the Ethiopian Empire recognized the Italian possession in 1889. The Colony of Eritrea was officially founded in 1890.
Name
The name Eritrea comes from the Greek word erythros, which means "red". The region was previously called Mdre Bahri.
Capital
The capital of Eritrea was Asmara, which was also the capital when Eritrea was a colony.
Influence
The Italian influence is still evident in Eritrea today, including cathedrals, pizza places, gelato shops, and old Italian cars. Many people in Eritrea can still speak fluent Italian.