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We know that bastards born in Westeros are named Snow, Pyke, Sand, Waters etc.

But what is a bastard born in Essos named?

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    I don't think we've ever met a bastard outside of Westeros. Besides, the social system is completely different and bastards might be treated differently. And Essos is huge. – System Down Jun 25 '14 at 19:22
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    @RoyalFlush - Perhaps, but it also has a bazillion cultures and nations. – System Down Jun 25 '14 at 22:42
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    @Justin: On numerous occasions, Second Sons' Daario Naharis mentioned that his mother was a whore; and the former head of the Second Sons was called "The Titan's Bastard". So we did meet a few Essosian bastards. – user24620 Jun 26 '14 at 17:01
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    @LordSnow That Daario Naharis's mother was a whore is not enough to make him a bastard. Daario's mother might have been married: being a whore and being married are not mutually incompatible. – jub0bs Jun 26 '14 at 18:07
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    Note: "bastards born in Westeros" is inaccurate. What you actually mean is "bastards of recognized high-born nobles in nine distinct subregions of Westeros" ( awoiaf.westeros.org/index.php/Bastardy#Surnames ). – Foo Bar Oct 28 '14 at 16:50
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Unlike Westeros, Essos is a heterogeneous continent of ethnicities, languages, and cultures. As such, it does not have a unified standard for treatment of extramarital children (or anyone else).

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The bastard names you're referring to are in replacement for family names, so children outside marriage don't bring shame on the family.

In both the book and the series it's suggested that only parts of Westeros, not essos use family names. (The wildings are natives of Westeros and don't use Family names)

In Essos most folks don't even seem to know Jorah Mormont has a family name and call him Jorah the Andal.

Note the conversation between Shae and Varys

Varys: If you let yourself believe that a foreign girl with no name could spend her life with the son of Tywin Lannister...

Shae: I have a name.

Varys: You have one name. As do I. Here only the family name matters.

Update: In direct answer to the question, What is a bastard in Essos called? By his or her given name without indication of birth in or out of wedlock.

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It is unknown for certain; but it seems that it is nothing special.

As Geroge R. R. Martin says, in essence: Only high-born children get a "bastard" name.
I'll quote from my answer there:

Bastard names are given only to bastards with at least one parent of high birth. So the bastard child of two peasants would have no surname at all.
Thus a bastard name like "Snow" or "Rivers" is simultaneously a stigma and a mark of distinction. The whole thing with bastard names is custom, not law.
-http://www.westeros.org/Citadel/SSM/Entry/2999.

So you can see that it is customary for natural children to receive the "bastard" name; and given that it is a custom of Westeros, it stands to reason that only "Westerosi" bastards receive the regional surnames.

The only notable mention of a non-Westerosi having natural children is Hizdahr Zo Loraq - who has fathered two natural children. But we do not know what their last names are.

Though I have never wed, I have two natural children, a boy and a girl, ....
[Hizdahr from A Dance With Dragons]

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    +1. Also, to emphasize your point on only highborn bastards getting such surnames, you can use what Stannis said to Davos. I know his name. Was there ever a name so apt? It proclaims his bastardy, his high birth, and the turmoil he brings with him. Edric Storm. There, I have said it. Are you satisfied, my lord Hand? – Aegon Jun 20 '16 at 13:23
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Bastards of Essos must have had two names. I'm basing this on Shiera Seastar who was a bastard of a Targaryan and a mother of Lys (which happens to be in Essos). Her mother was Serenei of Lys. Seastar must be the bastard name given to those from Lys.

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    That is wrong. Shiera is a lyseni name which is translated in common tongue as Seastar. She is called Seastar as a nickname or a title just like her half brothers were called Blackfyre, Bittersteel and Bloodraven – Aegon Jul 1 '16 at 18:02

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