I name my fantasy world just "World" in different languages. As I'm not a philologist or linguist, I just use existing languages in the Middle Ages to represent translations of the actual languages they use.

So my world is "The World", which is logic and you'll find it in every existing culture. The "World", "Large World" or "Wide World".

About nations and cities, I make ethimologies. For example:

The town of Caracador is in an Occitan-speaking region, but the first inhabitants of the area were Celts, forefathers of the Welshmen. So the town was originally called "Stone cut", in middle Welsh being the root for "stone", careg, and for "to cut", which is dor, because it was the first town built on stone in the area. When the Cautans, Romanesque-speakers, conquered the area, they named it Caracador (Carecadorum in Latin), adapting the phonetics. Nevertheless, the Welshmen who live in the north still call the town Careggtor.

The same with another example: the "Clear Town", which in Cataresque (Occitan) is Ameloder, but in Audrian (Welsh) is Amlymadref.

Etc.

I did this with most of my towns. I don't like making up names which mean nothing just because they're fancy.

***

For in case someone is interested, here's a brief scheme of how toponimy evolves usually:

1) the name means something in the tongue of their first inhabitants/builders, and this something evolves as the inhabitants language changes.
2) Conquerors or new settlers arrive. They name the place with a phoneic adaptation of the original name (Lugdunon in Gaulish -> Lugdunum in Latin, today's Lyon in French) or with a new name (Legio Gemina for today's León, in Spain; Caesarea Augusta for today's Saragossa)
3) New conquerors may adapt the city name to their language phonetics (Iznik, Turkish for the Greek form Nikaia; Estives, Catalan for Greek Thebai) or adapt the meaning of the city to their own language because there's some word with similar phonetics but no meaning relation. Example: Brugge in Flandres was called Brujas (which means "witches") during Spanish occupation (and still today is called that way in Spanish). Legio in northern Hispania derivated his original meaning "Legion" to Spanish "Lion". And now, the coat of arms of the city is a purple lion on silver field.
4) Foreing peoples can name existing places whatever they like (exonyms). Miklagard was the Scandinavian name for Constantinople, today's Istanbul, for a long time. It meant "Great City". Istanbul iself is the Turkish deformation of Greek "Eis tin Polis", meaning "to the City". Constantinople was The City (the biggest city in Europe during most of the Middle Ages). Wales is the Germanic way to say "the Others", because in Welsh it's Cymru. This "walhla-" Germanic root is usual, even for non-Germanic countries. Wallachia would be an exonym meaning also "the others". You'll find it in Wales, Cornwall (the -wall part), Wallonia, Włochy (Polish for Italy), the Gauls (the Romans got the name from a German tribe) even in the word "walnut" (literally Foreigh Nut).

I hope it helps someone with interest in constructing a senseful ethimology for his fantasies.

Take care!