What's in a Name, really?

I am learning French. Very slowly, and very poorly from my own self-jaded outlook. I didn't embarrass myself on my recent vacation to Paris however. Primarily because, The Girl was serving as my translator: her French is tres bien. (See what I did there? I showed that I know some French! See, see? I'm sneaky like that.)

Yesterday we moved on to the lesson of countries, and how most countries have a definite article in front of them, all countries have a gender:
France is La France (Feminine) (No feminizing anti-French jokes, please)
Spain is La Espagne (Feminine)
Japan is El Japon (Masculine)
United States is Les Etats-Unis (Masculine plural)
Mexico is El Mexique (Masculine: an exception to the rule that countries ending in 'e' are feminine)

This led to a conversation this morning about how odd it was that many countries call other respective countries by an entirely different name, than what we call it ourselves, and why there wasn't a universal word for each country: each country calling each other by the same name.

Take the United States for instance.
Here, we are known as the United States.
In Spain and most Latin American countries, we are known as Los Estados Unidos.
In France, we are known as Les Etats-Units.
In Iran, we are known as The Great Satan.

I wonder what those countries call 'snow'.