Nick Nicholas’ answer to How did countries get their English names?
Otherwise, the main source of country names for the “Old” World—Europe, North Africa, major countries of Asia—is Latin, and indirectly Greek, as the prestige languages of English learning for a very long time. Thence the –ia suffix, which actually goes through three iterations:
- –ia for more recent loans, straight out of Latin, and less familiar countries (Albania, Persia, India, Slovakia)
- –y for Middle English and Early Modern English (from French), many instances of which later went to –ia (Turkey, Hungary, Italy; Normandy, Picardy; Indies for India, Candy for Candia = Crete)
- –e or nothing for very old and familiar country names (France, Spain)
EDIT: from comments:
Albany – Wikipedia: … An archaic name for Scotland, derived from the Gaelic Alba
The –y tells you the name was used in the Renaissance, when country names were still modelled after French (Albanie; Indies; Araby). Albany was originally in English a name for Scotland. English has a lot of tolerance for ambiguity, so they would have also called Albania Albany if they were paying Shqipëria any attention in the Renaissance.