Sometimes languages have sounds that are hard to pronounce in other languages.
Also sometimes we came up with a name for a place based on imperfect information and the name caught on and stuck before we learned there was a better name we could be using.
Quebec has its own language authority which I believe does have some coordination with the one in France. Quebecois French diverged from France hundreds of years ago though and so uses different phrases and words that sound weird to French people and vice versa.