When I make a room, I make a name for it and an alias. But when I'm in that certain room, the exit still says the ugly name. But I cant make a room alias, it only says directions.

You can just type something else instead of the directions. Since you are dealing with a combobox it may behave a little weird when you type in words starting with the same letters as the directions, but in the end it works. Also be aware that for some reason applying a name to the exit removes that alias.

I am using the client, not the web version though, so I am not sure if it works there as well.

If the editor behaves strange, you can also try to do it in the code view. Your room should have an exit element like this:

<exit alias="pretty room name" to="ugly_room_name" />