Maybe this is not an ideal question for "Ask Historians".

Anyway, the difference is, obviously, that English uses a name derived from the Latin word "Germania", while the Germans use a name derived from a Germanic word for "people". "Deutschland" means "country of the people" or something similar.

Interestingly, the English word "Dutch" is much closer to the German word "Deutsch". This is not supprising, however, as the Dutch used to be part of the Holy Roman Empire and Dutch is very closely related to German.

"Pennsylvania Dutch" actually is a German dialect (and not a Dutch one). It is the German the descendants of German settlers in Pennsylvania retained over the centuries, so here we actually see a congruence of "Dutch" and "Deutsch".

Supprisingly, the French and the Spanish call Germany not "Germania" despite both being a Romance languages. Instead they call it "Allemagne" or "Alemania", obviously in reference the Alemanni.

At this point, you can probably see that languages do not have to be rational.

No on to the other coutries. As the Romans had less interaction with Scandinavia, their names for its countries were much more obscure (for them is was basically the edge of the map) and didn't make it into standard practice. Furthermore, I think that the contact with Danish during the Danelaw would possibly have made the Nordic names seep into common English anyway.

"Spain" is derived from the Roman word "Hispania". Both the Romans and the Germanics knew that region under that name and that name only. So there was no competition between names in the first place.