See? We mostly still say "Pechino" for Beijing, and "San Paolo" for Sao Paulo. On the other hand, I don't know, no one translates Salt Lake City to "Città del Lago Salato" (but we do call the lake "Gran Lago Salato").
And since you're Mexican, we still call Ciudad de México "Città del Messico", in Italian.
It's... generally weird, what we translate and what we don't.
Lipsia isn't English either
No, it's how we call Leipzig.
It's weird because we still use Italianized names for most European cities (Londra instead of London, Barcellona instead of Barcelona, Dublino instead of Dublin, Monaco instead of Munich which makes it easy to mix it up with Monaco as in the Principality of Monaco) BUT you'll never see New York translated to "Nuova York" (unless you're speaking with a centenerian) or Los Angeles to "Gli Angeli".
Funnily enough, "Buenos Aires" can easily be translated to "Benevento".