Why is it called Rome if the Italians say Roma? The Lingua File explains endonyms and exonyms.
“In linguistics we have endonyms and exonyms. If you recall high school chemistry you may remember endothermic and exothermic. Endo being inner and exo being outer. If not, you've just learnt something!
So an endonym is an "inner name" (the -onym being "name" or "word"... the second o is omitted for simplicity), it's what the locals call a place. An exonym is the opposite, the "outer name", as it is known to foreigners, outsiders or in different languages. A simple example is England. In England it's called England, obviously, but in France it's called Angleterre. Countries generally have several exonyms.”