Months are defined as section markers on pages where that month appears first time (you’ll see little triangle on “Pages” sidebar above each page where section starts eg. page 11, 21, 29…) so you can edit them through menu “Layout -> Numbering & Section Options” (or right click on page in “Pages” sidebar and open “Numbering & Section Options” menu), month name is contained in field “Section Marker”

Another way to change month names is editing them directly on each Master page – you need to change text “Section” on right master pages.