Social Studies: What kind of name is that?

I've wondered why countries aren't pronounced or even named in their native language.

Here are some examples:

English: Japan
Japanese (English characters): Nihon-koku

English: Hungary
Hungarian: Magyarország

English: Egypt
Arabic: Miṣr or Egyptian: Kemet

I know from learning languages there are difficulties in pronunciation but they could make it somewhat similar.

Sources: Wikipedia (Japan, Hungary, Egypt).