Many of our names for countries derive from Greek or Latin words. “German” comes from the Latin name for the culture. Centuries later, when members of that culture decided to unify into a nation-state, we were already in the habit of calling them “Germans”.
Names change, sometimes too fast for foreigners to follow. Burma or Myanmar? Zaire or Congo? Will today’s preferred name be around next week? For many centuries, the only thing westermers knew about East Asia was that it was ruled by the Ch’in family. So, thousands of years after the dynasty fell, we still call it “China”.
Sometimes, a nation’s own name for itself is difficult for foreigners to pronounce. The letters “st”, placed at the beginning of a word, are extremely difficult for Spanish-speakers to pronounce, so instead of “United States” they say “Estados Unidos”.