why do some proper nouns have translations in their respective languages but others do not?

Why are some proper nouns translatED and others not?   Nouns don't translate.  People translate words.

Joseph and José are not "the same." They're variations of a name.

As far as place names, why change them?  The natives of those places have given them names. 

Place names are almost never translated. Sometimes a city or country will have a different name in English than it does in the native language, but that's still not a translated "English" name, but rather is usually either an old name from hundreds of years ago, which is now "stuck" in English, or is a result of traders from centuries ago mishearing the proper name and that mistake remaining, or in some cases is the Latin or German name of the city. 

People's names also never translate. "Joseph" may be the English equivalent of "Jose", but someone named "Jose" would still be addressed as "Jose", even in English. You would never call him "Joseph". 

Basically, there is a difference between a name having an English equivalent, or a name's meaning being able to be translated into English, and actually translating that name. Proper nouns are almost never actually translated, even if there nominally is an English equivalent.