It was first called Hyrule Fantasy in Japan, the western version was called Legend of Zelda. After some time, Japan used the Legend of Zelda IP by default as well. If you are familiar with the canon lore behind the franchise, Zelda is the human incarnation of the Goddess Hylia and is reincarnated over time. Much of the legend surrounds her.
Link holds the spirit of the chosen hero of the Goddess, and is also reincarnated. He is merely a tool (an important tool) of the Goddess and nothing more.
The canon games that do not have Zelda present are side stories that follow an incarnation of Link in a Quest after his initial adventure regarding Ganon and Zelda. They use the same IP Legend of Zelda to signify that it is a canon entry in the Legend of Zelda franchise, despite Zelda not being present for these side stories.
Hope this clears things up.
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