The best answer to your actual question I know of is Belgium. When the country was created, it was sort of a mishmash of different languages and cultures, which broke off from the Dutch because the rulers there couldn't stop themselves from trying to push their own religion and language on the inhabitants.
Given that history, they really needed a neutral name that didn't favor any one existing group. So they took their name from the Belgae, an extinct Celtic tribe that used to inhabit the area in the early Roman era.
Personally, I think it is probably a Good Thing™ to name your country geographically, rather than trying to name it after the inhabitants. After all, people move around. Naming your country after a language or ethnicity is bound to lead to people thinking that anyone who isn't of that ethnicity or language doesn't belong there. It's a short hop from that to thinking perhaps they should be gotten rid of somehow...
Let's compare this with the incident you describe about "Palestine". Originally Rome had the Jewish area as a single administrative district named Judea. This unified Jewish district revolted in 135 CE, and it took half of the entire empire's armed forces to put it down. From the Roman's point of view, this was seriously not cool.
In the aftermath they decided that it was probably a Bad Thing™ to leave the Jews in a unified province of just Jews. So they consolidated Judea with other nearby (non-Jewish) areas. They couldn't call this new heterogeneous district Judea anymore, as that would favor the Jewish residents over the non-Jewish (precisely what they wanted to avoid), so to be neutral they picked an old name name the Greeks had used for the area hundreds of years earlier. It may be true that this also ticked off the residents of the portion of the new district that used to be Judea, and it may also be true that the Romans didn't care that it did, but that was not their purpose in doing it.
Given that the new state wasn't entirely Jewish, and the intent was to govern it as a place of hetrogenious culture, I think the comparison with the choice of names for Belgium is quite apt. The only real difference is that it was imposed by a conquerer, rather than by a victorious group of local revolutionaries