It would probably make more sense to ask this over at /r/linguistics, unless you have a specific name that you want to know the history behind. Most of these have very good reasons behind their name, some are just straight out translations.

Like the other comment says, this really isn't a historical question, but the answer is pretty simple - ease of pronunciation.

For instance, what is easier for an Englishman to pronounce, Germany or Bundesrepublik Deutschland. In some cases the country name comes from Greek or Latin, which is the case of Germany as it is inhabited by 'Germanic' peoples (as the Romans classified them).

This is really more of an etymology question, but I'll give it a shot. I should admit I'm not an expert here, but I am interested in the subject and would like to say I can answer the questions.

Germany comes from the Latin Germania and has been used for quite some time [since at least Caesar, probably before]. From what I've read, it is of Gaulish origin.

Alemania comes from name of the Alemanni, a Germanic tribe. The name of that tribe further comes from the Germanic Alamanniz. According to my Latin teacher, the first part came from the Latin Alius which means other or alien. Wikipedia presents an alternative in suggestion that al- means "all" suggesting that it's some sort of confederacy.

Estados Unidos literally means "United States" [or, I guess, States United if we want the same word order, but it doesn't matter] in Spanish. The name of the US refers to the political system, i.e. a union of states and so it makes sense to retain the name throughout all possible translations as it gives an accurate description of the political system.

Finland means land of the Finns. I don't have any etymology knowledge of why Finns is the name chosen, but I encourage you to look that one up.

If you've got more countries, I highly recommend looking into the Online Etymology Dictionary:

http://www.etymonline.com/index.php

I feel obligated to link you to this wikipedia article because I found it fascinating as well:

en.wikipedia.org/wiki/Names_of_Germany

Hope this helps.

The phenomenon ou are referring to are exonyms, and the wikipedia article gives a fairly good run down to some of the issues. The reasons are a combination of linguistic and social factors, that vary from case to case. For some examples, it can be impossible to accurately pronounce what a group calls themselves, once that word has been translated to another language.

To boil it down, we call countries, etc., by names that exist in language X, because we are speaking language X, not language Y. When I speak English, I refer to the Netherdlands; when I speak Mongolian, I must say "Golland", otherwise I will not be understood, as 'Holland' is not a word; but when I speak Dutch it will be Nederland.