When and why did English drop the -ia from many country names and why do some country names still have it?

I got to thinking about this after listening to Mike Duncan's History of Rome Podcast. Germania (Germany), Britannia (Britain), Italia (Italy), Hispania (Spain), etc. A lot of country names derive from the Roman names for them, right? Many countries in Europe still seem to call THEMSELVES by something that has that -ia present in the Roman name, but we English speakers dropped the ending. Why and when did this happen?

Also, why does English still have the -ia ending for some countries, but not others? For example, Austria.