Here I go ... this response is based on general ignorance and guesswork.
Two things seem to occur.
One is that there is an historical mispronunciation or difficulty with pronunciation of the name which then translates into an ongoing misspelling of the name. Hence, in English Firenze = Florence, Roma = Rome, Munchen = Munich, Lunnon = London. Yet Berlin = Berlin, Milan = Milan, Pisa = Pisa, and so on.
The other one is that some languages don't happily accept names which don't fit their linguistic approach to life. Examples of this are Australie = Australia in German, Nyujirando = New Zealand in Japanese (although I won't swear to the spelling of the Japanese word).
I've noticed that when a place from parts foreign which doesn't usually crop up makes it on to the news these days (e.g. Grozny and Chechnya), there is no "anglicisation". Instead we have a newsreader valiantly trying to remember how the hell that name was pronounced and either making a bold, valiant attempt at it, or mumbling into his/her beard in the hope that it won't be noticed.
We appear to have learned our lesson here, while stubbornly refusing to correct past errors at the expense of reissuing millions of maps, books and other assorted communications devices.
My $0.02 worth ...
