Like many things in language, it seems to be on a word by word basis. See how the various languages in Europe handle the Germans: German Deutschland (country), Italian Germania (country), tedesco (people, language), Spanish Alemania (country), Russia Германия (Germanija, country), немецкий язык (nemtskij jazyk, language), Finnish Saksa (country), France Allemagne (country), Lithuanian Vokietija (country). Most of these names come from one of the many tribes into which the Germans were divided in antiquity. (Excepting the Slavic names which are based on a root meaning deaf-mute. Many placenames (and their adjectival forms) were borrowed at different times and some have been subjected to some extensive changes in pronunciation: e.g., Leghorn for Livorno. How different words are formed within languages is answerable, but I doubt that the why is.

I've always wondered where the -n- in Shanghainese came from? Probably just an epenthetic consonant to make it easier to pronounce. Then there are curiosities like the almost standard (US) mispronunication of the capital of the PRC as /bejʒIŋ/ rather than /bejdʒIŋ/.

Ceci n'est pas un seing.