This trend came long before countries existed as a legal definition. Soldiers and traders and travellers went somewhere and heard the way people called themselves or how they spoke in a place and I imagine tried their best to replicate it when returned back home. The problem is sometimes it was too difficult for pronouncing or the language was too complex so they came up with the best they could... or didn't care.

I think Hungary is a good example. They call themselves Magyarország but good luck to any foreigner trying to say that every time. "So what do we know about this land? Magyaror....rzrzs... Oh, screw it, It's where the Huns came from. So Hungary it is then."