Of course you could include both names, so for example Germany / Deutschland.
As for Belgium, that would mean four names: Belgium / België / Belgique / Belgien.
Although you could use this for any country, I think nobody will mind if we simply name Finland Finland / Suomi and Wales Wales / Cymru.
As for Serbia, I believe the Cyrillic alphabet is most commonly used, which would make it Србија, but since Loki is probably from Serbia he must know more than I.
You could solve the alphabet problem by transliterating the Cyrillic names to Latin, so that would make Serbia's name Serbia / Srbija.
Then again, there are different ways of transliterating other Slavic languages. For example, Україна (Ukraine) is commonly written as Ukrayina, but Ukraïna and Ukrajina are also used.
In short, including native country names would get us into a lot of trouble.
Therefore, English it is.