The rapper's attorneys filed a formal notice that they will challenge the ruling at a federal appeals court.
The news comes a day after federal agents reportedly raided the embattled music mogul's Miami and Los Angeles homes.
The judge in the case said the court "cannot rely on generalized, uncorroborated claims that disclosure would harm plaintiff to justify her anonymity."
A source with knowledge of the situation tells Billboard the show was in its nascent stages.
In a strongly-worded lawsuit, Diddy says Diageo treated his DeLeon Tequila as a “Black brand” that could only be sold to "urban" consumers.
The name change from Combs Enterprises to Combs Global by the rapper and record producer marks a continuing expansion for his portfolio of music, fashion and TV ventures.