A basic question about output rate and sampling rate in serial communication
Imagine you established communication with a USB device through your PC's USB COM port.
  ...
  I set the baud rates and the rest by using HyperTerminal and connect to the port, I can see 4 voltage readings per second as incoming lines.


Many USB devices that appear to PC software as "COM ports" don't actually involve an UART hardware. They likely ignore the baud rate setting that you provided through hyperterminal.

These devices should be able to achieve a good fraction of the USB data rate, so at least 100 Mb/s.

It's not clear why you would only receive 4 readings per second. 


  The analog sampling rate of the device was 1kHz, but I receive 4Hz per second. Does that mean the data is averaged?


If you are designing the ADC device, you could design it to average 250 samples and send the averaged value rather than send every individual sample.

Or you could design it to throw away 249 samples and send the 250th.

Or you could design it to send all 250 samples.

It would be up to you, as the designer of the ADC device.


  What is the 4 samples per second received by the PC called in literature? 


Usually we specify ADCs in "samples per second". So we'd say this ADC is providing "4 samples per second". If you were getting thousands or millions of samples per second you might talk about "ksps" or "Msps", but I've never seen it abbreviated for such low rates. Maybe you could say your ADC provides 0.004 ksps.