When I ask this question, I'm thinking specifically of Ptolemy, Pliny, Pompey, and Antony but I'm sure there are many others. Why were these names all changed to end in "Y" in English, when they don't even have the same endings in their original languages? With the exception of Antonius and Plinius I suppose.
The ones you mention are all englishifications of an -ius ending or something phonetically equivalent -- not just Antony and Pliny.
Antony < Antonius
Pliny < Plinius
Ptolemy < Ptolemeus (< Ptolemaeus < Ptolemaios)
Pompey < Pompeius
Here's a few more; you can also see the trend in some ordinary nouns that have been borrowed from Latin:
Mercury < Mercurius
Porphyry < Porphyrius
Tully (obs., for Cicero) < Tullius
Araby (obs.) < Arabia
July (the month) < Iulius
Cecily < Caecilia
Emily < Aemilia
colloquy < colloquium
chalcedony < Chalcedonius
The more puzzling cases seem to resolve themselves in ad hoc ways. Why does "usury" end in -y when the Latin for "interest" is usura? Answer: it comes from the mediaeval Latin word usuria, which referred to the practice of charging interest. And a lot of other English words in -y come from French/Anglo-Norman words in -é (e.g. "laity" < laité). Why the personal names "Jules", "Dennis", "Terence", and "Virgil", rather than "July", "Dionysy", "Terenty", and "Vergily"? Answer: they come from French/Anglo-Norman forms that dropped the -ius altogether.
Englishifying with a -y is not actively practised any more -- witness the demise of "Tully" and "Araby" -- so it's not surprising that most words like this get used in English with the original Latin spelling (e.g. radius, Servius).
There's also a highly upvoted previous thread on this very topic, if you're interested, but it's been covered well by posters here as well, especially since /u/rosemary85 addresses where the -y ending came from, while the old thread really doesn't.