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.