Anthony Burgess clearly linked the Russian “x” to the English “h”, or otherwise the whole “horrorshow” pun wouldn’t have happened in A Clockwork Orange.
Could very well be. All I know is that “b” just tends to traditionally have been treated as the “v” stand-in for foreign words that contain it. Though these days, you also see it fudged by putting diacriticals on ウ u, so that *va *would be written as ヴァ, which is an ウ with diacriticals that indicate that a sound is voiced (e.g. カ *ka *versus ガ ga), plus a small ア *a *to indicate the vowel sound.
Check out the section “Modern digraph additions with diacritics” on this table of katakana for more examples of current ways that non-native phonemes are being written.
It’s interesting that residents of other countries translate “Nova Scotia” into their own language, but the locals do not.
Does any country translate Nevada into “Snowy”.
There isn’t a perfectly good “f” though, and certainly no “fa” in Japanese. The h- syllables are often transliterated as ha hi fu he ho, but even the “fu” sound is really not very “f”-like. It is somewhere between “hu” and “fu”.
Having said that, there are ways to write certain foreign sounds such as “va” and “fe” in kana. For example ヴァゼリン = Vaseline; フィエスタ = fiesta.
Except for Austrians, though, who from what we’ve seen say “Kah-lee-forn-yuh”. :D. What many Americans don’t know is that there’s also a Kalifornien in Germany itself, you can look it up in the German Wikipedia. By all accounts, it appears to be little more than a housing development, though.
IIRC the French have a word for it as well, “Californie”.
Generally it seems that local subdivisions or provinces do tend to have their own names in foreign languages if the place is large or famous enough for some reason. I suspect it helps if the places existed independently before the modern country was formed. So in English we have names for just about all the historic German regions, e.g. Bavaria, Saxony, Rhineland-Palatinate, etc. And the same is more or less true of Italy as well. With California, America (as in United States) was just too big to be a useful point of reference. So when the Gold Rush happened in 1848, and people were coming in from all over the world, it didn’t make sense for a European to say they were “going to America”, not least because California had only been part of the U.S. for a couple of years by that time, and certainly wasn’t the “America” of the time, which for most people meant New York, Boston, New England, and so on. So almost by necessity California came to be a separately identifiable place.
By the way, in French, all the American states have a gender, and use a definite article, except for New York (since that’s named for a city, which doesn’t take an article), Hawaii (island, ditto), and Washington (person, ditto). They’re generally called l’État de New York etc.
Same for Canada. In the case of Canada, the gender is determined in certain cases by the gender of the origin of the name: le Manitoba (named for le lac Manitoba) but la Saskatchewan (named for la rivière Saskatchewan). Only Terre-Neuve-et-Labrador is without an article, since Terre-Neuve lacks one as an island. Québec didn’t use to have one, since it was named for the city, but with the emergence of nationalism it acquired one, so that le Québec is the province and Québec is the city (although it’s still called in full la province de Québec, not du Québec).
(I once got in trouble in a French class for assuming that since Québec is a city and le Québec is a province, New York state would be le New York. Silly matt!)
Here, by the way, are the states in Esperanto. For Canada, too.
Some locals, namely the Acadiens of Nouvelle-Écosse, do in fact translate it. 
In German, The Great Lakes are called Eriesee, Huronsee, Michigansee, Oberer See (Lake Superior), and Ontariosee. I’m not sure exactly why the lake or river always comes after the proper name in German, some genitive thing maybe?
Or how about hearing a German pronounce “New Orleans” as “Neu Orléans”. A German parsing it half way between German and the true French pronunciation of Orléans.
Also, I think it’s funny that for Mexico, Russians pronounce the “x” the way Americans do (thus, a Mexican person is мексиканский, or Mexikanski), while for Texas, they pronounce “x” the Spanish way (so Texas is техас, or Tekhas). This struck me as choosing the pronunciation least preferred by each place’s residents. Of course, it’s complicated by the fact that the letter that looks like “x” in Russian is pronounced “kh,” so there may simply be come transliteration confusion.
Also, the old USSR (Union of Soviet Socialist Republics) was called “Brit Ha-Moatzot” in Hebrew – same word “brit” for “Union” or “Alliance.”
As to place names within the US – Hebrew is inconsistent. “New” anything stays “new” – “New York,” “New Mexico…” But North and South (and in the rare cases anyone here cares about it enough, West :p) are translated into their Hebrew equivalents – so you get, e.g., “Tzfon Karolayna” for NC.
I’m failing to think of anything other than these 4 (OK, OK, 5!!) cases of “directional” state names where American place names aren’t simply transliterated. Even, for example, New England is “New Ingland,” although England itself is called Anglia in Hebrew. If you’re talking about the “North East,” however, it’s translated.
Chi (χ) in most Greek dialects was pronounced with the “kh” sound (usually rendered /k/ in English borrowings, as in psychology or hypochondria). But in some Ionian dialects which were nearest Italy, it represented a /ks/ sound. (Compare how /r/ is rendered in the speech of someone from Aberdeen, an upper class Englishman, a Bostonian, an Alabaman, someone from Omaha, and a four year old telling you she ‘was a very good girl’.) The Romans borrowed X via the Ionians, and gave it the /ks/ sound, which was preserved in most languages using the Latin alphabet.
On thinking about the Spanish forms for the four “New” states, I have a WAG to offer: All four states were founded as colonies in the early 1600s, New Hampshire and New Jersey by the English, who named them. (New York came along a generation later, after the Dutch ceded New Amsterdam and it was renamed New York in honor of the King’s brother and heir presumptive.) But New Mexico was a Spanish colonia for two centuries before the Mexican War, and was probably known as Nuevo Mexico during that period, in much the same way as the area south of Brownsville is Nuevo Leon today. This would explain the divergence between the three 'New’s and the Nuevo for the state names in Spanish.
It’s not three “news”, it’s two “news” and two “nuevos”, at least in Spain. Nueva York 
York was known both because that’s what we call cooked ham and for the House of York; Jersey is what we call pullovers; Hampshire… what’s that? New Mexico was indeed Nuevo Méjico before being New Mexico, but “it’s what it was originally called” doesn’t explain Nueva York, Nuevo Amsterdam or Nueva Orleans. Or Carolina del Sur vs West Virginia…
Mind you, any explanation we can come up with is bound to have elements of retconning: sometimes you just have to get to a point where you say “it’s that way because somehow that’s the way it ended up being”.
Someone liked it better that way.
Not quite on point, but I once saw a Russian map of the world that called the Ivory Coast “Bereg Slonovoi Kostyei” - Coast of Elephant Bones.
Just thought I’d share.
As cited for French upthread, Spanish translates the directionals and the “New” while leaving everything else the same.
Nueva York (as in the OP)
Nuevo Mexico (or Mejico some time ago)
Carolina del Norte (or “del Sur”)
etc.
Interestingly, New Hampshire is seldom traduced (and seldom mentioned, for that matter). New Jersey is a bit of a coin toss. Sometimes translated, sometimes not. My WAG is that York and Mexico are close enough when said in Spanish while Hampshire is so English that you either go all English with it or risk mangling the translation badly.
ETA: Oops, didn’t see there was a second page. Beaten by Nava by well over a day.
I think that this may have something to do with the fact that while Israelis have little problem pronouncing “J”, “W” and “Ch” sounds, even though they don’t officially exist in Hebrew, they tend to stumble a bit with “Th”, especially at the end of words. Translating “North” and “South” is an easy way to get around this.
Good point. Non-anglophones might have trouble even recognizing the letters “th” as representing a single sound, not to mention that it doesn’t even exist in most languages anyway.
I’ve heard it as both Nuevo “Yérsi” and Nueva “Yérsi”, too, but always with a pronunciation closer to English than to the Spanish pronunciation of jersei. Have you ever heard Virginia del Oeste or Virginia Occidental? I think I may have heard the second one a veeeeery few times, but it could be one of those things with regional variations.
Even stranger is that the country of Mexico is called Мексико (Meksiko), following English pronunciation, more or less, but Mexico City is Мехико (Mekhiko), following Spanish. At least they don’t ever confuse the two.
As for the г/х thing, my general impression is that the older something is (or at least the longer Russians have known about it) the more likely it is that H will be represented by Г. Any new transliterations invariably use Х. The shift seems to have occurred early-mid 20th century. So you get things like Говард Хьюз - the name “Howard” is old enough that it gets a Г, but Hughes gets a Х.
(Using Г for H isn’t that large a stretch, actually - although it’s usually a hard G sound in standard Russian, southern dialects of Russian pronounce Г as a very open, breathy kind of H.)