Show Site Name on WP login screen

The function you are looking for is get_bloginfo().

function wpse407167_custom_login_message( $message ) {

    $message="<p class="natz-login">Log in to " . get_bloginfo('name') . '</p><br>';
    return $message;
    
}
add_filter( 'login_message', 'wpse407167_custom_login_message', 99 );