Quoting Minion:" Why do we call some countries by names different than what the natives call them? Like Germans call It ... [snip!] ... don't understand this. Wouldn't it be simpler to just call the countries by their actual names (what the natives call them)?"
i personally think its because its easier to pronounce. People from Argentina call theier country Argentine but they say it with an accent. English doesnt really allow for accents lol at least without ridicule , so they changed it.