The short answer is that the name for “old world” countries in a language isn’t translated, it is simply what “we” call “them”, not what “they” call themselves.
Using Greece as an example for English, English has a lot of French influence, which in turn had a lot of Latin influence. It is believed the early Latin (ie modern day Italian) peoples first met Graecians, a tribe likely from Boeotia in modern day Greece, and used the name to refer to all people from the same place. By the time of the Romans, this was the name and was then spread throughout the empire, including back to Greece itself.
A more modern or current example would be how people often called The Netherlands, Holland. Same idea, just several millenia apart.
The short answer is that the name for “old world” countries in a language isn’t translated, it is simply what “we” call “them”, not what “they” call themselves.
Using Greece as an example for English, English has a lot of French influence, which in turn had a lot of Latin influence. It is believed the early Latin (ie modern day Italian) peoples first met Graecians, a tribe likely from Boeotia in modern day Greece, and used the name to refer to all people from the same place. By the time of the Romans, this was the name and was then spread throughout the empire, including back to Greece itself.
A more modern or current example would be how people often called The Netherlands, Holland. Same idea, just several millenia apart.