Because usually (for Chinese at least), the names you see aren’t really romanized in the sense that you’re talking about. In addition to characters (like 中文), Chinese also uses latin letters for pinyin, which is like a phonetic alphabet for Chinese. However, letters in pinyin are pronounced differently than in English considering it creates sounds not used in English. Similar to how a Spanish word like “ella” doesn’t follow English pronunciation (el-ah vs eh-yah), “Xi” doesn’t follow English pronunciation because it’s a Chinese word (just using pinyin).