Place names get translated when they become widely used in another language, this is because most "native" names often don't fit with the phonology of another language or the character set. It's particularly awkward for Turkey to insist on this name change because most languages don't actually have an "ü" letter so foreigners don't know how to pronounce it or type it on a computer.

Imagine if Bavarians insisted that everybody refer to their capital as "München".

Some people do translate their personal names. In china it's common for people to pick "english names" for interactions with foreigners in part because foreigners have huge problems pronouncing native names.