The main source we use in Wikimedia and MediaWiki for exonyms is CLDR. See also: https://unicode-org.github.io/cldr-staging/charts/37/summary/root.html https://translatewiki.net/wiki/CLDR
If you need further information feel free to ask me or the mediawiki-i18n mailing list. https://lists.wikimedia.org/mailman/listinfo/mediawiki-i18n
Cheers, Federico