Good question, OP. I've asked it myself a while ago but never went investigating.
Did some googling, it's called a few names:
- ZOO's Choo Choo Train Dance;
- EXILE's Choo Choo Train Dance;
- EXILEのアレ (That thing from the EXILE - or, how an American might say it, "Doing the EXILE").
回転ダンス (Rotating dance, this is just a description)
Long story short, ZOO was a band that originally created this dance for their Choo Choo Train song in 1991. And EXILE was a band that covered it in 2003.
Apparently the EXILE version was the one to really popularize it, and they spun couter-clockwise, while the original was clockwise, because they were looking at the TV and copying ZOO when learning the dance.
Sources (in Japanese):
https://ja.wikipedia.org/wiki/Choo_Choo_TRAIN#Choo_Choo_TRAIN_Dancehttps://dic.nicovideo.jp/a/choo%20choo%20train 