I'm in a somewhat similar situation as you. To my therapist I've never referred to them by any name. During our sessions I've never had any reason to do so.

When I sign in with the receptionist I always refer to my therapist by their first name, since that's how the receptionist refers to them, but I would feel strange calling my therapist that to their face during a session.

I guess asking them is the best way to go about it... they'll tell you what they prefer. You've given me a new task to do my next appointment.