We native speakers don't always get these names right, either! (You'll see this below.)
Aside from the very salient answers already given, I'm inclined to suggest that you choose one geographical area. Of course the English language is used natively in a diverse set of nations across the globe, so I'm afraid you'll drive yourself crazy trying to learn so many diverse people's names or place names at once!
For example, you might live or might like to live in London, in British Columbia, in Southeast Texas, in Lagos, or in Western Australia; or you might have contact with people from one of those places. So you could focus on the names from those places, only learning the others as needed.
For example, major US cities' names come from the following origins:
- English place names: New York, Boston, Birmingham
- French place names: New Orleans
- Greek: Philadelphia
- Spanish: Los Angeles, San Francisco, El Paso (less prominent: Las Cruces, Boca Raton)
- Native languages: Chicago (a wild onion), Seattle (from a chief's name)
- Egyptian place name: Memphis
- Contemporary people's names: Nashville, Raleigh, Washington, Pittsburgh, Houston, Dallas, Denver
- Saints' names: Saint Louis, Saint Paul
- Geographical features: Little Rock, Salt Lake City
- Latin: Cincinnati
- Hybrid native/Greek: Minneapolis
Also note that New York City, formerly Nieuw Amsterdam, has many Dutch (Netherlands) place names, adapted to English inconsistently. For example the name of the Van Wyck Expressway is somewhat controversial.
Any other large English-speaking country might have its own mix. And the problem is, each of those source languages is going to have its own phonology. Sometimes we get it wrong--before I recently traveled to Abuja, I was pronouncing the name of Nigeria's capital with the accent on the wrong syllable. And I'm still not sure if one form of Lagos or the other is favored!
So I strongly suggest you focus on the part of the English-speaking world most of interest to you and learn the rest only as needed.