Americans have a particularly weird relationship with anything foreign. If you suggested that you should pronounce country names the same way people in those countries do in any place other than the US, no one would take you seriously.

So as a Serb I’m wrong when I say Nederlandi instead of Nederland, Mađarska instead of Magyarország or Francuska instead of France?

The app Windows Terminal is preinstalled. On it you can use Powershell. If you want it to be like Linux, open the Microsoft Store app, search for a Linux distro you like (for example Ubuntu) and download it. Then in Windows Terminal in the tab strip you will have an arrow next to the plus icon which will let you choose Linux.