The names that needed changes (mostly in OTL USSR) have already been done.
The main region that would be affected by potential city name changes would be Austria-Hungary. Even if it looks fancy to change everything eitheir to local name, or German/Hungarian, it will looks very silly following the war or if Austria becomes a federal state.
Just think about Bratislava. Slovakia is in the Hungarian part of the A-H, and thus would be named 'Pozsony'. There is the possibility to create an independent Slovakia if Austria is destroyed, and it would have its capital in Hungarian (or in German, but Pressburg isn't much better).
Bratislava is a city name everybody can understand and that can be used in any situation.
If we want to change this we will also need to change names in all of the world, if we want to add vernacular names. So we have Roma, Milano, München, Warzawa, Al-Iksandryah, Al-Qahira, Ciudad de Mejico, etc.
Even if it seems to give flavor at first, those changes will be highly anti-flavor if things differs from the starting positions (wich should happen). I do not think Croatia would like to have Agram as capital, or Greece Konstantinyye.
We shoud focus our efforts on something else, as I said.