TL;DR: are there any cases of nations/ethnic groups, whose name for themselves comes from a language that is foreign to them? [I feel like I am missing a term here]
Many nations have a name for themselves, in their native language, that then gives rise to what they are called in foreign languages, or at least predates the ethnic group and its language. For example the French call themselves, in French, "français", the English call themselves, well, the English - with other major languages' names being derived from these. The term "English" presumably comes from the Angles tribe (as in Anglo-Saxon), so not from English as such, but from an ancestor of the English language. And the origin of "français" is ultimately from the tribe of Franks, who predate the French language, but the Frankish empire is actually an ancestor to the French state. So, if you excuse my wonky explanation, the term for the ethnic group used by themselves and by others originates from an indigenous word.
In some cases, nations call themselves differently to what the outside world calls them. Fins call Finland Suomi, Hungarians call themselves Magyars, as far as I can tell. Inuit people used to be called "Eskimo" (I understand this is now considered an outdated term, but was once in common use). But in these cases, the term used by these ethnic groups is indigenous to them.
My question is about people who call themselves by a term coming from abroad. Does that happen often? The context to my question are Slavs, or Slavic people. One proposed etymology is that the term comes from slave trade, which at one time Slavs were victim to. But that would imply that the name that Slavs use for themselves is in fact a (unglamorous) loan word - as far as I can tell, in Slavic languages unfree people are not called by a word similar to "slave". There are alternative etymologies that derive the name from Slavic languages themselves. But for context, I was curious if it is in fact common that people call themselves by, what is to them, a loanword.
I realise that some concepts in the question are somewhat nebulous or anachronistic, such as "nation", but hopefully the gist of the question is clear enough.