A bit of a silly meta question, but I am rereading Massie's Peter the Great, and I have a great deal of trouble trying to pronounce some of these Russian names. How do historians deal with hard to pronounce names, especially if they are names that come from outside of their primary language? This question is especially pertinent if their primary means of coming across these names is through the written word.
As someone whose main field of study and area of interest is Chinese history - the only thing that has made my pronunciation go from "Awful" to "Less Awful" is an ongoing learning of Chinese and in particular - learning how Chinese is transliterated.
With languages that use different scripts and writing systems, English-language writers are going to have to rely, hopefully, upon a set of rules for transliterating the word from that script into the Latin alphabet. This is as true for Russian as it is for Chinese or Arabic or the like. Often times this means they have to figure out how to write sounds that don't exist in English. Once you understand which sounds from the other language the writers are trying to transliterate into English when they use strange combinations like "Cz" or "Zh", you'll be a lot better off.