And Deutschland isn't actually pronounced Germany or l'Allemagne. At some point you have let go and allow a language to have its own words for geographic terms outside of where it is spoken. It can be I bit difficult where borders have shifted (revisionists would insist on "true" names even if they don't know them themselves without referencing a historic map while everybody else is making a conscious effort to avoid those) or where a name was forced on a place by invading foreigners that got ousted again, but it's perfectly possible to navigate that problem-space without trying to go native pronouncement everywhere.

In fact, in a case of politically questionable names it could even be seen as a sign of antirevisionist acceptance to introduce a badly butchered (if necessary) transcription and pronouncement of the local name into a language that used to have a name that isn't acceptable anymore.