Changing sheet codename Run-Time Error 9: Subscript out of range

@Comintern already got you a working solution, but this code doesn't pollute your Immediate Window, and uses the hidden _CodeName property to change the sheet name instead of accessing the vbComponents collection.

It also uses an early-bound Worksheet assignment to wks, and then a With block because it is accessing more than 1 member of wks.

Interestingly, the placement of the VBProject member usage is important.

Dim wbk As Workbook
Dim wks As Worksheet

Set wbk = ThisWorkbook
Set wks = wbk.Worksheets.Add

'Oddly, this statement MUST appear AFTER the Worksheets.add
Debug.Assert wbk.VBProject.Name <> vbNullString 'Don't pollute the Immediate window

With wks
  .Name = "Admin - Save Log"
  .[_CodeName] = "wksAdminSaveLog"
End With

If you need the VBE to have been opened, you can "trick" the debugging context into doing it for you. This seems to do whatever the project needs to update its indexing by forcing the VBE.MainWindow into existence:

Dim wbk As Workbook
Dim wks As Worksheet

Set wbk = ThisWorkbook

Set wks = wbk.Sheets.Add
wks.Name = "Admin - Save Log"
Debug.Print wbk.VBProject.VBE.MainWindow.Caption   '<--Force the VBE to exist.
wbk.VBProject.VBComponents(wks.CodeName).Name = "wksAdminSaveLog"

Edit:

It seems that simply obtaining the reference to the VBE.MainWindow is enough (see the comments). This also works:

Dim editor As Object
Set editor = wbk.VBProject.VBE.MainWindow   '<--Force the VBE to exist.