I mean, I live in Germany now, and the German name for Germany isn't Germany (except when it is because Denglish is surprisingly also used in political posters), and likewise has a different name in French (Allemagne), Dutch (Duitsland), Danish (Tyskland), Polish (Niemcy), and Czech (Německo).
Or how the body of water separating Great Britain from mainland Europe is "The English Channel" or "La Manche" (literally "the sleeve", but also name of a department of Normandy).