It's usually only the most significant locations which acquire their own names in other languages - usually major cities and seaports with whom there was regular contact from distant times. I've already put forward my theory why these sometimes differ from the local names. Once in use, these get established in the language.

Other places may only have come to our notice recently, and so the local name will be used, although not necessarily the local pronunciation. In these cases people may have come across the name first in print, and attempt to pronounce them according to the rules of their own language. It doesn't take long for mispronunciations to become established, for example Eye-beetha, Majorka and Eye-rack as mentioned earlier.