This is just some dumb reasoning. If an American went to Finland and made a statue of Santa Claus there, complete with a name plate referring to it as such, at least 99% of Finnish people would still refer to it as Joulupukki (the Finnish word for Santa Claus), because that's their name for the character and has been for longer than America has existed as a country in its current state. You will pretty much never change people's use of a word like that when they've already been using their own word for them for centuries. If the creation was an original, sure, they would probably respect the foreign name enough to at least try and pronounce it, but they're not going to stop using a name they've been using forever for the newer, foreign version. Especially so in the case of Herakles which is originally a Greek creation in the first place.