I submit that such behavior makes no sense. A new nation name is invented and the name is readily pronouncible in English. Why give a rats ass on how the native’s spell it, why not just adjust the spelling to reflect English norms?
Because it’s insulting? Especially coming from somebody who can’t spell or use apostrophes correctly in their own language.
[Moderating]
Although you seem to have somehow avoided Gaudere’s Rule, I don’t think we need this kind of snark here.
Colibri
General Questions Moderator
Possibly because English does not traditionally make adjustments to orthography to make it conform to pronunciation. Of course, the spelling of many native English words is wildly divergent from how they are pronounced today. English speakers are accustomed to spelling not reflecting pronunciation.
One example is Pago Pago, the capital of American Samoa. The name is pronounced Pango Pango; Samoan orthography uses “g” to signify the sound “ng”. Despite belonging to an English-speaking country for over a century, the spelling has not been changed to reflect the pronunciation. The same goes for places in Fiji like Nadi (pronounced Nandi), Sigatoka (pronounced Singatoka), and Beqa (pronounced Mbengga).
Spanish, on the other hand, has an orthography that strictly follows pronunciation. In Spanish, the spelling of foreign place names is almost always adjusted to reflect their pronunciation.
That example came to mind when I first began reading the thread. How the heck do you mispronounce “Osterreich” as “Austria”?
For that matter, how do you make an umlaut, however you spell it?
Probably has something to do with those damned Koala bears.
Throw anudder shrimp on das barbie, mein heron!
Latin. The answer in cases like that is usually Latin.
Beats Koala bears, and makes sense. 
How the hell is it insulting to want to write a word so that it sounds the same way a native would say it, especially if it is readily pronounced in our tongue? If anything, spellings are really a contrivance used to map phonemes to our particular alphabet set. This is why I said who cares how a nation spells its name in its own language. Your Pago Pago example is exactly what I’m talking about. We see what looks like English letters (but this is mere coincidence) spelling Pago Pago but we hear Pango Pango. Suppose the Samoans had a symbol for the “ng” sound instead of using a “g”. I’d bet we’d have decided to spell the city as Pango Pango. It’s only laziness to decide not to bother adjusting oue spelling because “they’re using our letters”.
Praha is the Czech name for the Czech capital, Prague. The Germans say Prag.
See, I told you I was confused. Also, Moscow was Moskva, which is a sort of approximation of the Russian spelling.
Somewhere I read that the use of a G to represent the NG-sound in Samoan was due to a local newspaper in the early days of it being a US possession. This was in the days of movable type and it seems this newspaper had a shortage of N’s in their type case. So the newspaper printed the name of the town (and perhaps other names with NG’s) without N’s. This may be an apocryphal story, though.
Another example of this kind of thing from the Pacific is the name Kiribati. The main island group in this country is the Gilberts. Kiribati is the transliteration of the name “Gilberts” in Gilbertese. The “ti” in Gilbertese is actually pronounced /s/, for reasons I’ve never fathomed.
One of the islands in Kiribati is Kiritimati, formerly Christmas Island. If you apply the TI = S rule, you’ll see that the pronunciation of Kiritimati is actually quite close to that of Christmas.
That was the little guy in the WWI series of The Black Adder. He called it an Ostrich and really thought it was one. 
But geez, how many threads do we need asking why doesn’t everyone use the native version of every single locality on Earth? They seem to be legion these days. I guarantee you don’t want to wrap your tongues around some of the actual Thai place names, never mind Cambodian.
I’m sure that’s apocryphal. Samoan orthography was developed by missionaries in the 1860s for the purpose of printing the bible in the native language. This kind of orthography is also used in other Polynesian languages such as Fijian, which I mentioned above. Polynesian has fewer sounds than many other languages; Samoan uses only 15 letters, and Fijian uses only 23 letters. In Fijian, since it lacks the sounds represented by b, d, g, and q as stand-alone letters, these letters have been pressed into service to represent the phonemes mb, nd, ng, and ngg. As in Fijian, Samoan uses the “n” to represent the “ng” sound.
Different languages have different rules for how sounds can go together, what sounds can begin or end syllables or words, and what sounds are considered speech sounds. English, for example, does not permit the NG sound to begin a word; however, that sound does begin more than a few common words in the Vietnamese language. In the case mentioned in the OP, the German pronunciation isn’t really hard for an English speaker to make even without practice. A simple change in the English spelling is probably all that it would’ve taken way back when. Now, if you want to talk about Köln, that’s a different story.
The ng sound also can be used to begin words in other languages, including Polynesian (such as the first name of writer Ngaio Marsh, from the Maori name of a New Zealand tree), and Ngöbe, an indigenous group in Panama.
Also in Thai, Lao, Cambodian and Vietnamese.
I’d assume we don’t change it because the written form for centuries was the only form people would know about form a distance.
Also, Osterreich isn’t that dissimilar form Austria. Ost = aust makes perfect sense. err getis inverted (as often happens with unaccented syllables with r in them), The vowels all get more close and lose their diphthongs, and the ch gets dropped as a sound that doesn’t exist in English (or Latin, as the case my be.)
Yeah, it sounds like a lot, but really, I can make them sound pretty similar. Then again, I can show the Great Vowel Shift.
That should be the “g” to represent the “ng” sound.
Wish I’d’ve mentioned Vietnamese in my post above. Oh, wait…