Most probably, you have already noticed that, if not most, many of the major cities, islands and places in Greece have anglicised versions. For example Athens instead of Athina, Salonica instead of Thessaloniki, Rhodes instead of Rodos, Crete instead of Kriti. And the list is endless. Shouldn’t they just use the Greek name instead of changing it to an Anglicized one?
Well, this is not just the case with Greece only; it is a well established way of the world that place names get translated to many languages. The English say Moscow not Moskva. Russians say Reem instead of Roma just as the English say Rome. The French say Londres instead of London. Russians pronounce Warszawa much like Poles do (despite having a different alphabet), while English speakers say Warsaw. The Poles retaliate by calling Italy Włochy. Deutschland can be Allemagne, Germany, or Nemechyna (transliteration from Ukrainian imprecise), and while the Italians call it Germania, they call the Germans as Tedeschi!
Wouldn’t it create more confusion if everybody insisted on their local pronunciation? It would almost mean knowing a word of two in all these languages, and the idea of using our mother tongue is exactly to facilitate communication. By translating or more often adjusting foreign countries/place and other proper names we help better understanding. And the original name can always be found if you want to. They make the world a richer and more versatile place, battling the uniformity.