It is always good, when learning about a country and culture, to begin with the way, a country described itself. You can get assistance in thiis quest from this compilation of Endonyms of the world at http://endonymmap.com/
Find the names as well as lots of more information here
An endonym is the name for a place, site or location in the language of the people who live there. These names may be officially designated by the local government or they may simply be widely used.
This map depicts endonyms of the countries of the world in their official or national languages. In cases where a country has more than one national or official language, the language that is most widely used by the local population is shown.