I still try to remember to write, and say, 'Marseilles' and 'Lyons', and even 'Leghorn' and 'Constantinople', but I recognize that this is looking increasingly affected or eccentric.
A movement in the opposite direction is in the use of foreign titles. The BBC used to refer to 'Herr Brandt', 'Signor de Gasperi' and 'Monsieur Pineau'. Now they'd all be 'Mister.'