Identification of an empty macro from pgfplots using \ifx

If you modify your code to look like

  \pgfkeysgetvalue{/pgfplots/table/column name}\temp%
\show\temp
  \ifx\temp\empty%
    \noindent Temp is empty.\\%

You will see \temp is \relax in the no value case, so test for

\ifx\temp\relax

Don't forget to take the \show out of the production code.

Your MWE is incomplete: it does not load pgfplotstable. However, column name is only available within pgfplotstable.

What beats me is that you did not get an error although you used an undefined key. Ah - it is the /.try handler. Apparently, it swallows the nested error message. I was unaware of that behavior ...

Anyway, I checked what happens if you load pgfplotstable (as you did for sure in your larger production code). And: column name is not empty initially. It only expands to an empty value (more precisely: to \pgfkeysnovalue). Apparently, this has some special support which is (alas) not documented: - if you say column name={}, the column's display name is the empty string. - if you say column name=\pgfkeysnovalue, the column's display name defaults to the column's name. This is the default.

I will adjust the documentation.

Here is a suitable solution:

\documentclass{article}
\usepackage{pgfplots, filecontents}
\usepackage{pgfplotstable}% ---------- CF
\pgfplotsset{compat=1.6}
\begin{filecontents}{test.dat}
  Time Distance
  0 0
  1 1
\end{filecontents}

\pgfplotstableset{
  columns/Distance/.style={
     column name={$D_{\alpha}$},
  }
}

% --------- CF
\def\emptycolname{\pgfkeysnovalue}

\begin{document}
%
\def\tmp{}
\ifx\tmp\empty
\noindent Tmp is \tmp.\\
\fi
%
\pgfplotstableread{test.dat}{\loadedtable}%
\pgfplotstableforeachcolumn\loadedtable\as\col{%
  \begingroup% ---- CF
  \pgfplotstableset{columns/\col/.try}%
  \pgfkeysgetvalue{/pgfplots/table/column name}\temp%
  \ifx\temp\emptycolname% ----- CF
    \noindent Temp is empty.\\%
  \else%
    \noindent Macro col is \col. Macro temp is \temp.\\%
  \fi%
  \endgroup% ---- CF
}%

\pgfplotstabletypeset\loadedtable
\end{document}

I introduced four changes: first, I loaded pgfplotstable. Second, I defined \emptycolname to contain the value that pgfplotstable assumes if you never assigned a column name: \pgfkeysnovalue. Third, a used that value in the \ifx comparison. Last (but not least), I introduced \begingroup ... \endgroup inside of your loop. Otherwise, you will inherit the column name of the previous loop iteration. I also added \pgfplotstabletypeset to see that it works.

See http://pgfplots.sourceforge.net/TeX-programming-notes.pdf for how to transport local variables outside of a TeX group (if you need it).