That's stupid. Most countries have different names or at least spellings in other languages. Nothing wrong with that. The name they use in the countries primary language would sound weird in others and some even lack the characters to write it.
Sure, but Italy also has the Vatican in it, and I've heard that place had and continues to have quite a lot of influence... Also, Italy was unified one before, the same cannot be said about Germany. (No, the HRE does not count)