Over the years, I have learned that many countries actually call themselves something entirely different than what English speakers have labeled their countries. Some are minor changes, while others are vastly different. Here are some examples:
Japan = Nihon/Nippon
Spain = España
Germany = Deutschland
Poland = Polska
and even to a lesser degree:
Mexico (with an X sound) = México (x with an H sound)
Brazil = Brasil
Norway = Norge
Is there any reason for such a change? I have always felt that we English speakers must think very highly of ourselves to call a country something other than what they call themselves. In my mind, I have a funny image of an Ambassador coming to Japan and saying "You call yourselves Nippon? Oh my, that's silly, from now on we shall call you Japan." I know I personally wouldn't enjoy being bullied into a name change. What's the real scoop behind this name changing? Obviously some must be corruptions from the English speaking tongue, but some are drastic alterations.
The English word "Japan" comes from the Chinese "chipeng".
It gets worse. The people we call "German" call themselves "Deutsch", but the Italians call them "Tedesci", the Russians call them "Nemets", and the French call them "Allemande".
While there's at least some resemblance between most of the examples you gave, what we call "Albania" is known to its inhabitants as "Shqipëri", and the people of "Finland" know their country as "Suomi".
The Chinese people call "China" Zhong Guo (in Mandarin Chinese). I've heard that English gets the word "China" from the name of the Qin (Chin) Dynasty. English isn't alone in giving different names for other countries. A few examples of names used in Mandarin for other countries: "Fa Guo" (France), "Ying Guo" (England), "Mei Guo" (America/USA), "Jia Na Da" (Canada). The first three were created taking an approximation of the sound of the first syllable of the native word, then adding "Guo" which means country.
"Mei Guo" as the Chinese name for America is meant to be somewhat phonetic, but as luck would have it the same characters can also be read as "Beautiful Country".
The Japanese equivalent "Beikoku", on the other hand, means "Rice Land".
(We're not completely innocent of this ourselves. "Ivory Coast", now known as "Côte d'Ivoire", shares its name with two brands of soap.)
When the Soviet Union existed, as a kid interested in geography and current events, it was confusing to me when people caused it "Russia." I realized later that it was certainly the most dominant of the 15 republics, but nobody could explain that to me back then. Even today, people call the old USSR "Russia," so some people probably can't figure out how it could dissolve and yet still be a country.
Similarly, I guess, is when people call the Netherlands "Holland" and the UK, "England."