Naming an action

From your descriptions, I'd call "retreat with intercept" something like "ambush" (i.e you're launching a surprise pre-emptive attack on your attackers from a prepared position, then withdrawing),
while "retreat with return fire" could be "fighting retreat".
Does that work?

At a more general level, I like to avoid games that over proliferate terminology. I find it creates interference in learning and are particularly rough in first play experiences.

So, to turn the question around, can you just succinctly describe these without forcing vocabulary onto them?

It seems like you have these phases:
1. Attacker moves
2. Attacker declares attack
3. Defender may move and/or attack
4. Attacker attacks
5. Defender may attack
6. Defender may move

Why do they need names?

Realistically a retreating force does not sit around waiting to be assaulted because if that happens that is called an overrun and that retreat becomes a route. Retreating forces do not "intercept" the pressing force, it merely covers its withdraw with defensive fire because anything more you're suddenly having a counter-attack instead a retreat if it focuses more on attacking than moving away. Retreating into an ambush is a total a SNAFU and said retreat turns into turkey shoot as in the retreating force getting annihilated or rendered completely combat ineffective. This happened often in Vietnam.

Retreats should be primarily movement actions towards your side of the board or a designated rallying point with limited options of defensive fire to cover the withdraw like any proper combat unit would. These intercepts should be simple op-fire reactions such as an unit on overwatch firing upon an enemy model that moved within their range and LOS. The trade off is if a unit op-fires it cannot return fire when attacked. So you're trading off a chance to hit the enemy while they move versus the chance to hit them back after they attack.

Actions should be something like:
Withdraw - movement only
Covered Withdraw - movement and limited defensive fire
Counterattack - leadership test and a full attack during or after a retreat has been declared

Reactions should be something like:
Overwatch (or op-fire) - a reaction to attack an enemy that moved towards your unit
Return fire - a reaction to attack the enemy after it attacked your unit...should it survive.

So it's not really "naming" the action versus what the action is indicative of if it has a simple description.

For a cold war game I made you have three types of actions. Aggressive, Defensive and Passive. Aggressive actions focuses on attacking first where as defensive actions is focused on moving first or going to ground and passive actions are special actions like deployment, using abilities or equipment that may or may not directly involve attacking or moving.

Food for thought.

If you plan to make this game available to the public it needs to be logical in a language that everyone can understand.

I'll take a gander at these actions and see what I can do.

(Retreat with) Suppresive/Covering Fire
(Retreat with) Direct/Return Fire

Google those terms if you need more insight as to whether they fit your intended game actions or not.

Ambush/Intercept
Return Fire

Feigned Retreat (Withdrawal with Ambush/Intercept)
Tactical Retreat (Withdrawal with Return Fire/Impedance)

Military Withdrawal

Intercept by its definition is an obstruction or an interruption of something, mainly movement of sorts. Particularly on a tactical standpoint when you intercept it is an attack or an offense maneuver rather than a defensive one but consider when you intercept something like shooting missiles out of the sky with point defenses or intercepting an attack bomber on its run with an interceptor (hence the name!) then you're creating a language break down.

I say go with a retreat with cover fire or simply a pullback. To simplify it further retreating units cannot shoot since they're focused on running away from the fight instead of getting back in it.