An interesting one is Germany. Different people call them Allemagne, Tyksland, Saksamaa, Německo, Germany, and many more; of course none of these people ever went to Germany and asked them nicely what they'd like to be called.
I think Tyskland is pretty close, particularly given how neighboring folks actually speak there. Allemange has reasons in history as does Germany. I suppose the others can easily explained likewise. Really, it could be much worse.
Names are always bestowed, never picked.