That’s called exonyms, and in part are a natural consequence of some language speakers not being able to reproduce some sounds of other languages.

You could call Georgia Sakartvelo, or Morocco Almaghrib, for example, but many would struggle with the tv or the gh. Or the s in Mesr for Egypt, which isn’t actually an s like the English speakers know it.

And what would you call Switzerland? There are three official languages.