It's generally considered pretentious and rude to interlard your conversation with French words or your writing with Latin quotations. I think it's equally pretentious and rude ("I'm smarter than you; I've travelled more") to use foreign names instead of English names when speaking English.

You don't go on holiday to Deutschland and Elas and Italia, because that's not what they're called in English. We learn place names the same as we learn common names: in our cradle and from those around us. They are part of English like any other words.