I tend to use the original German, Italian, Spanish, French place names even when speaking English in fact. I don't know why, I like it that way. Aren't Köln, Munich [edit München], Zürich, Venezia, Firenze beautiful names?
Venezia is Italian, which is a slightly artificial language pushed by the authorities 150 years ago in order to administer the newly unified country more efficiently. Only 2.5% of Italy's population could speak the Italian standardized language properly when the nation was unified in 1861.
The game of "original" is extra tricky in Europe, with its long succession of cultures and empires. Quite a lot of settlements around the Mediterranean would originally be named either in Greek, or in Phoenician.
By Anglicizing those names for your use, you aren't doing anything bad, you're only repeating a process that has taken place many times before.