I wonder why a single city's (or country's) name is different in various languages. To me, city and country names are somewhat similar to a person's given name, and it doesn't seem right to call anyone with a translated version of their name. But why is it ok with cities and countries?
This is a wide-ranging question that perhaps permits many answers, e.g. of both linguistic and political kinds.
Sometimes renaming a town was a way of exerting a (outside) ruler's power: e.g. what was once Königsberg is now Kaliningrad, what was once Vindobona is now Wien (Vienna). Notice that it's not always straightforward to determine what the "right" name should be even from today's perspective.
The phenomenon also occurs within single languages: e.g. what was once Leningrad (and I should use the proper Russian name here, but don't read/speak the language) is now (again) St. Petersburg, and what is now Wolgograd was once Zarizyn then Stalingrad.
It would seem that there are also more innocent versions of the same phenomenon: for instance the English name Prague for Praha is perhaps to approximate faithfully the pronunciation of the city's German name Prag (and notice that Praha had a German-speaking majority well into the 19th century).
Personally, I try to avoid corrupting "correctly" formed city names when pronouncing them in English, our modern lingua franca: e.g. the normal English pronunciation of Montreal (in a way, even more so Montpelier) must be quite "horrid" to a native French speaker (and notice, these are quite clearly French names: mont = mountain); I try to do better (or "better") when situations permit. (Presumably this also affects native Spanish speakers vis-à-vis the English pronunciation of Los Angeles.)
BTW, how do you call Mt. Everest (aka Chomolungma aka 珠穆朗玛峰 ...) or Pope Francis (aka Franciscus aka Jorge Mario Bergoglio ...). The business of "canonical" names IMO seems quite hopeless (note to self: Wittgenstein I vs. II :), but of course one should be cognizant and respectful of places' (let alone the people's inhabiting them) histories and facets.