Actually Bobbers, I think it is a case of "When in Rome" so-to-speak, one goes with the local place-name rather than what we jolly foreigners might wish to call (or rather anglisize) said place name, and so we should, and so too should it be recipricated. No point calling us Londres when we lose the derivation of that name (ie: Lon don meaning: Scum bum), similarly, the derivation of Essex, for example would be lost (old English for The Arse People) if it was translated into French or Italian.
I think I've tied myself up in knots quite nicely.
Hope this helps?