I think this is just called "subject looking out of frame", or "looking off-camera". I don't say that jokingly, but rather because I've seen several different discussions of this and can't remember hearing any specific term.

In Michael Freeman's The Photographer's Eye, he says (in a section on eye-lines worth reading in its entirety):

The gaze "points" us at another element in the image, or if it is directed out of the frame [...] it is unresolved and creates some doubt in the viewer's mind. This is by no means a fault, and can be useful in creating ambiguity.

An online article from Darren Rouse of the Digital Photography School blog says:

[H]ave your subject focus their attention on something unseen and outside the field of view of your camera. This can create a feeling of candidness and also create a little intrigue and interest as the viewer of the shot wonders what they are looking at. This intrigue is particularly drawn about when the subject is showing some kind of emotion (ie ‘what’s making them laugh?’ or ‘what is making them look surprised?’). [...]

David duChemin, in Within the Frame: The Journey of Photographic Vision, says:

The eyes are also a strong means of directing the attention of the viewer. We generally look where others look. If you are speaking to a friend and they point in one direction but look in the other, we generally look where they look, not where they point. It's instinct; we assume that what has captured their attention is more important than what they're pointing at. In the image, we tend to follow the gaze of the primary subjects — their eye line draws our own gaze along with it. In this way the eyes, and the eye line they form, can be useful compositional tools. If you want your viewers looking out of frame, allow your subjects to look there, too. If you want them looking into the frame, perhaps at a secondary detail, allow your primary subject to look there.

I agree it's an often-effective technique, and it's one that's been written about a lot, but I don't think there is a short name — or at least, not a commonly-accepted and used one.