In Norwegian we mostly name people or countries after their own terms, but also many are named after English/Latin terms.

Germany is Tyskland which I still wonder why, closest thing is Teutons perhaps.

And while Swedes & Danes call Greece for Grekenland, in Norway we call it Hellas.

Switzerland is called Sveits & France is Frankrike.

As for conquered peoples in the Roman empire, most seem have been romanized a lot yet still being non-romans by blood. Many non-Romans were given citizenship, also as many non-Romans married into Roman families to gain citizenship protection.
Also I remember reading that some of the Roman ruins, baths and similar in England were discovered to have been built by romanized Briton kings & chieftains. By some generations many peoples would call themselves Romans. For example the Greeks in Byzantine Empire called themselves rhomaioi, at least among the upper echelons of society. Then you have Slavs who were settled in Anatolia by early Byzantine emperors and who later on called themselves Greeks.

As for Italy, I remember reading that 90.000 Lombard men settled there so Lombard blood is probably in many Italians' veins.

Also the Muslim army that conquered Visigothic Iberia apparently didn't have any women with them. Which meant that when these Muslim soldiers settled in Iberia and intermarried.