When a language is first encountered it can often be marked by the characteristics of the language through which it is first translated.
Take the example of Russian. French was probably the main language through which it was introduced to western Europe and it still bears some of the marks of that initial transcription from Cyrillic. We still conventionally spell Chaikovsky as Tchaikovsky: the initial T is not there in the Russian. It is there in our transliterated version because it makes the ch, which in French would make a sh sound, into a Russian (and English) ch sound.
Similarly with Chekhov. I have a copy of a history of Russian literature by the Anarchist, Peter Kropotkin, which spells the great playwright’s name, Tchekhov. Whilst we conventionally pronounce his name Chekov, the kh sound is in Russian pronounced like the ch sound in loch.
Greek has some more unusual examples. Transcriptions / adaptations of Greek words are refracted through Latin, since this was the first western European to come into contact with it. According to Wikipedia, Latin developed some specific conventions for transliterating Greek sounds into another language. For example, Greek υ (Ipsilon) was written as ‘y’, αι as ‘æ’, οι as ‘œ’, φ as ‘ph’, etc.
There are numerous words in Greek that include the letter combination au which in the original has the sound av or af (aftos, afthentikos, etc.) and these have come through to other western European languages as an au sound (eg automatic, authentic, etc.). Similarly with the eu letter combination which in Greek has the sound ef or ev: thus names familiar to us from the Greek myths, such as Zeus or Odysseus, in Greek are pronounced Zevs and Odyssevs respectively.
Why should this be the case? My theory (happy to be shot down in flames on this one!) is that in its written form Latin did not distinguish between u and v and so both sounds were written as a v. Thus as the names moved into other languages the distinction between what was a v and what was a u got lost. Also perhaps because names like Zeus and Odysseus sound like Latin and the original Greek ev sound was an odd combination for western European ears, the Latinised forms prevailed.
Another oddity is the way that the Greek letter Veta is treated. This is the Greek name for the second letter of the Greek alphabet which, conventionally in English and other languages, we call Beta. So, for example, the Greek word vivlio (book) gets transliterated into biblio in compounds in western European languages. The Greeks called Byzantium ‘Vizantion’. Our word botany comes from the Greek word for a herb, votano. I don’t know how this v/b exchange comes about.
English had no direct contact with Greek until the 16th century when ancient classical texts became more widely known and translated. It was at that point, which coincides with the beginning of an explosion of interest in science, that English went to Greek root words to coin new technical terms. I have heard that there are 80,000 words of Greek origin in English, but so far I have not been able to validate this figure.