Exonym and endonym
This is actually very common across languages for several reasons. One reason is because the sounds for an endonym may not exist in certain languages. It would be difficult for speakers of other languages to say them, so speakers of other languages make an exonym. For example, words in Japanese cannot end in any consonant that is not an "n" sound, and for that reason, Deutsch is Doitsu in Japanese. Japanese also adds Japanese morphemes so that there is no confusion between the country, the people, and the language. The German people are Doitsujin, in which -jin means people, and the name of the German language is Doitsugo, in which -go means language. While the country, people, and language of Laos can all be called Lao in English, they are called Raosu, Rasoujin, and Raosugo in Japanese in that same order.