The endonym of each supported language is part of its definition, but the translation of hte name into other languages (exonym) can be treated as data.
The files for exonyms not provided by CLDR are in the LocalNames folder: https://phabricator.wikimedia.org/diffusion/ECLD/browse/master/LocalNames/
Currently we have to modify the repository manually, like T162406: Add Scots names for languages, or else people can contribute upstream to CLDR with the survey tool (the English-language exonym needs to be added to the English locale first and then it can be translated to any of the ~200 supported languages).