I think my problem (just one of them!) comes from the fact that I live in Australia, which means “Down under” and is only a couple of hundred years old, so everyone translates our name phonetically or literally.
How do you get Croatia from Hrvätska?
Close enough. Nippon was referred to by other peoples by different names; the Chinese called it something like “Jipangu,” and by the time it got to Malay it was something like “Japang,” which the Portuguese picked up and turned into “Japan,” and so it came to be called by Europe, although it used to be spelled a number of different ways.
The Mandarin Chinese name for Japan is “Rìbên” (Ri4 ben3), but the Chinese “r” sounds (in my opinion) like a cross between a German “r” (breathy, palatal), a j, and a y, and it used to be transliterated “j” until the pinyin system was introduced. I imagine the “gu” comes from Mandarin “guó” (guo1), meaning “country”.
Of course, the Portuguese and most of the early traders operated in the south, where there are new dialects every fifty miles, so “Jipangu” could be much closer to “Riben guo” in whatever speech they heard.
Marco Polo is responsible for that name. Jipangu or ‘Zipang’ as Marco first called it translates to “island of gold.” I always thought that it was translated from Chinese, but as I look now, I see that it is Portuguese which makes more sense.
Jipangu/Cipangu/Zipang might have been introduced by the west by Portuguese traders, but it’s definitely not Portuguese. It seems like a pretty good transliteration of “Riben guo”, but Portuguese for gold island is “ilha de ouro” (note that my Portuguese isn’t terribly good, but this seems like a logical translation of Sp. “isla de oro”)
Huh? Australia is an Anglicised form of “Terra Australis”, or southern land. Down Under, OTOH, is purely an 80s pop song. 
A lot of country names have their roots in tribalism. In many tribal cultures, the people used a term for themselves that means “(our) people” or "us folks. For instance, the German ethnonym “Deutsch” is derived from teuta or “people”.
Some Native American tribes have an identical meaning.
By contrast, people who were from different tribes would be “those foreign people” or something of that nature. The root for foreign people in old Germanic was “Walha”. This is the root of the Anglo-Saxon term for the Celtic Britons, or “Welsh” as well as the root for the French speaking Belgians or “Wallons”. Further east, Slavs adapted a varient of this term to describe “Romance speaker” so Romanians and related peoples were called “Vlachs” or “Vallachians”, and in Polish Italy is called “Wlochy”.
Likewise the root of several Slavic ethnonyms is the word “Slovos”, meaning ‘word’ or speech; while the Slavic names for Germans (Nemetsky, Niemcy, etc.) come from a root basically meaning “those people who don’t understand us”.