Hi,
The name used for the country on the address printed in invoices/shipping invoices is always the name in English.
We do that as the English name is the only one understood by everyone so if you get that address for the packages that you ship to other countries, the name of the country will always be understood if it is in English.
If we were displaying the name in the language of the customer, then you would get for example Japan written in Japanese on the invoice/shipping invoice and you wouldn't be able to read it and the post office either so you wouldn't know where to ship it.
So it's actually done on purpose.
If you want to change that, you would have to either edit core code of HikaShop or change the english name of the country zone to have the local name written there too.