I felt so betrayed when I found out Germany isn't called Germany in Germany

All languages do this to an extent.

Exactly. In Spanish, we have some ‘curious’ names for Germany and its states and cities. «Alemania» is the name of the country. «Renania-Palatinado» is Rheinland-Pfalz, Bayern got turned into «Baviera». «Colonia» is Köln, «Friburgo de Brisgovia» is Freiburg im Brisgau…