Could you please share more details about the Day Name column here, the formula, and also the related data sample (what the actual data, language used)?
I tested the publish to Power BI service, with a newly created data table, selecting the column for day name works at my side:
The column is written with the following formula:
Column = SWITCH([weekday], 1, "Mon", 2, "Tues", 3, "Wen", 4, "Thu"
, 5, "Fri", 6, "Sat", 7, "Sun",
"Unknown month number" )
Please try to add related column with the data name column under Edit report View in Power BI service, see if it would make any difference.