Because all languages change all the time. Each undergoes the phonetic changes that all the rest of the language undergoes. And millions and millions of people in every generation learn about Paris and Germany and Athens -- very very few of them ever get to the sophistication of learning that the foreigners at home there call them "Paghee" and Deutschland and Athine. There just isn't the impetus to adopt foreign names for things we already have familiar and simple and long-established English names for.