they seem to call it Ellas though that may just be a grammatical variation on Ellada
http://www.mlahanas.de/Greeks/images/AthenaPer gamon.jpg
But I don't think they have any right to tell other countries with other languages what to call it. We go along with some changes but not with others. I don't think Britain took much notice when Cambodia became Kampuchea, and eventually it went back to Cambodia. Some people have changed from saying Burma to Myanmar, but others haven't. And we've long stuck with Spain and Italy, not Espana and Italia, simply because those are the
English names of the countries - same as for Greece.