English spelling has always done strange things to other people's cities: Rome and Vienna come to mind. Sometimes the English spelling strikes me as more euphonious (Cologne vs Koln); other times, well, not. The worst, in my opinion, is changing Livorno to Leghorn. What were they thinking? (Whoever "they" is!)
All languages keep some cities names as they were or as they were known in the old times, for example in Spanish, London is Londres, both far from the original Londinium. There are many examples like this. Nowadays many people keep using Ceylan in Spanish even though they changed their name to Sri Lanka, for example...
Livorno for Leghorn has no excuse
But Cologne/Köln... originally the name was Colonia Agrippina, so I guess the English historical name for this city seems to be closer to the original one.
I have always thought it strange that they kept the adjective, Colonia, for that city, and not the proper name, Agrippina. Agrippina is distinctive; there are many places that could be called "Colony". Oh, well.
I thought I knew how to play this game....