There was a convention, in the past, of adapting some (presumably well known or more frequently visited) foreign place names to English pronunciations, and sometimes spellings, such as Lyons and Bombay, and I think the same thing happened elsewhere - French has alternative spellings for a lot of foreign places, such as Edimbourg and Londres. Here, they seem to have generally fallen out of use, or have been deliberately ditched for their original counterparts. I think, as far as imported words other than place names go, the answer - in terms of which ones (and there are quite a lot) retained original pronunciation, and which ones were adapted locally over time - is probably a long-winded and not very definitive one to do with when they came over, and who they were used by, and how much status, caché or power they had.
If you're at all interested in the origins and development of language, Guy Deutcher's books are interesting. I really enjoyed 'The Unfolding of Language', which attempts to uncover how languages develop and change over time.