City names also get translated, but not regions / provinces. It’s all so arbitrary, probably mostly for historical reasons.
My own nationality (and perhaps yours, judging by your username?) comes to mind, Dutch, which doesn’t even vaguely resemble the way we refer to ourselves (“Nederlands”), but is close to a very old naming of a region in our country (“Diets”, ca. 1200 - 1550), how we call Germans (“Duits”), who call themselves different as well (“Deutsch”), where the word “German” probably stems from Germanic, which refers to a historical group of people in Central and Scandinavian Europe, comparable to “Latin”.
Mmm I had some French regions in mind, which typically don’t get translated in my own language at all (eg Côte d’Azure), but I just realized we do translate Pyrenées to “Pyreneeën” and there are probably many other examples as well.
We also translate Paris to Parijs, and Lille has an official translation to Rijsel but nobody uses that.
Sheesh if this were a codebase it would raise some serious questions about variable naming standards.
Finnish spells California as Kalifornia, translates e.g. North Dakota to Pohjois-Dakota, Hawaii is Havaiji, and so on. Regions do get translated too, but not as often.
It's a question of "how often do we need to mention this name"; only commonly mentioned get a translation or familiar-alphabet-munging.
Other countries needing to talk about provinces is more rare.
My own nationality (and perhaps yours, judging by your username?) comes to mind, Dutch, which doesn’t even vaguely resemble the way we refer to ourselves (“Nederlands”), but is close to a very old naming of a region in our country (“Diets”, ca. 1200 - 1550), how we call Germans (“Duits”), who call themselves different as well (“Deutsch”), where the word “German” probably stems from Germanic, which refers to a historical group of people in Central and Scandinavian Europe, comparable to “Latin”.