In UK I've mostly have heard 'naughties' for the decade sine about 1999.
But I rarely heard "naughty X" as a year name unless someone was being even more deliberately daft. I'd say "oh" would be most common here after "two thousand and X" too in my experience.

I always thought that "'aught" was an American contraction of 'naught'.

"aught" in old timey-English can mean "other" or "else" or even "anything". In my local dialect we still say "owt" meaning "anything" as an opposite of "nowt" nothing".