Why do we anglicise foreign place names

[ChrisPBacon]

particularly ones which aren't difficult to pronounce eg we call Danmark Denmark, Roma Rome, Lisboa Lisbon

[geofbob]

I imagine some of the anglicisation goes back to the Grand Tour of the 17th/18th centuries, when English young gentlemen spent months travelling round the fashionable and artistic cities of the Continent. This is possibly why Italian cities in particular have English versions - eg Venice (Venezia); Florence (Firenze); Leghorn (Livorno) etc. But don't forget, the Continentals also have their own versions of our and each others' places, including of course the names of the nations themselves. I reckon that if you looked at how each member-state of the EU referred to each other member, you would find hardly anyone who used the name used by the member-state itself.