I can't find an article at present but standard convention for languages at least, is to show both the name of the language in itself and in English.
For example if you go to a website in English and want to switch to French it will display Français (French).
For countries... the same idea sounds good in theory until you consider countries like Belgium, Canada or Switzerland where there might be two or more legally equal native languages. This equating languages to countries is stepping into dangerous territory.
I would suggest where you are purely dealing with countries to use the language that the user is currently accessing the site in– if possible with a clear flag icon or the international 2 digit nation code of the country nearby.
If somebody has got to a situation where they've navigated far enough with the Russian site to be ordering a product for delivery then its pretty likely they will know the Russian word for Sweden.
On the other hand if it is a international site selector, then you should for good usability be looking at two different options– both language and country. For example with skyscanner– there is nothing stopping someone from accessing a Germany version of the site in English.
Making language accessible takes priority here, as once you've gotten things into a language you understand then switching to the right country is easy.
As to your specific example of Gross Britanien/ UK.... well, that's a problem with the UK in general and it goes even beyond usability and the internet. The standard name in English at least is the United Kingdom though the country code is GB. If possible it is nice when country select allows for typing and accepts England/GB/etc... as inputs for UK.
In German, go with the standard German name, with GB/the union flag clear to hand.