Yeah for some reason that and Norway are the only two titles in CK2 that are called by their...what's the word, autonym?
What they call themselves.
Everything else, like, Germany is Germany if you form it, not Deutschland.
Some have variable names depending on who owns them (Ireland is called Eire if it's formed by native Irish) but Danmark and Norge (Norway) are the only two that are hardcoded to always show up that way and this was not a longstanding thing, but rather a recent change I cannot fathom the reason for (the only explanation I can think of is "Paradox are Scandinavian" (they're based in Copenhagen if memory serves, which you might notice is in neither of the two countries mentioned).
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also, it's danish for 'denmark'.