Courtesy Hilaria Baldwin
September 04, 2018 10:40 AM
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Before Alec and Hilaria Baldwin‘s new baby boy, now 3 months, was Romeo Alejandro David, the family was calling him by another name — almost right up until he was born!

Hilaria, who recently teamed up with Little Tikes to throw her kids a huge end-of-summer party at her home in the Hamptons, opened up to PEOPLE about how she and her husband were inspired by a location very special to them when it came to the “hard” decision of settling on a moniker for their new arrival.

“He didn’t have a name for two days,” says the fitness instructor and mother of four, 34. “His name that we were pretty set on the entire time was Diego, which I still really love. I told my kids, ‘Diego is gonna come,’ and they were all waiting for him.”

“I don’t know why I just started getting this sense really close to when I was gonna give birth that that was not his name,” she adds of her son, who arrived May 17.

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RELATED: Hilaria Baldwin Has “Pretty Great Labors” But Reveals Why Her Fourth Time “Wasn’t as Fast”

Romeo’s siblings — brothers Leonardo Ángel Charles, 2 next week, and Rafael Thomas, 3, plus sister Carmen Gabriela, 5 — completely embody their names, according to their mom.

“I really do feel that my kids are their names,” Hilaria tells PEOPLE. “We tried on a bunch of different names [for Romeo]. The first two days when [I was] still in the hospital, I kept trying to call him different names and see how [they] fit. … The first place Alec took me was Rome. We’re big Rome fans.”

“But for the past three months, Rafa [will] just look at me, sweet innocence. And he’s just like, ‘¿Dónde está Diego? Where is Diego? Mommy, you were telling me for nine months that this person named Diego is gonna come,’ ” she recalls, ” ‘and Diego never came and you brought somebody named Romeo, but nobody named Diego came, so when is Diego gonna come?’ ”

RELATED VIDEO: Hilaria Baldwin Shares Intimate Video of the Moment She First Held Son Romeo

While adjusting to life with four young children hasn’t been all rainbows (for example, Hilaria battled pneumonia right after Romeo’s birth), she says, “The change from three to four is not that crazy.”

“I found one to two to be the hardest transition, and then two to three was not so bad,” she explains. “And three to four is just completely uneventful. We all look at him and we’re like, ‘Can you imagine a time when he wasn’t here?’ “

“Everything just was incomplete,” Hilaria adds. “It’s really great and everybody’s loved him. So far there hasn’t been a lot of jealousy. A little bit, but nothing too crazy, whereas the one to two really left me in tears sometimes.”

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