RPG setting designers tend to adopt one of three approaches to place names. The first is just to come up with made-up assortments of syllables arranged to make a pleasing and evocative sound: Allansia; Al Qadim; New Crobuzon.
The second, I think generally more effective, approach is to use place names that actually mean something: The Misty Mountains, Cloud City, King's Landing.
The third, I think least effective, one is to deploy names that break the fourth wall by imagining the inhabitants of a place to have deliberately given it a 'cool' name: Bloodhand Gap, Moon's Spawn, Fang.
When you think about real world place names, though, what is most noticeable about them (certainly in Britain) is their strange obliqueness. It is not as though they are a bundle of made-up sounds; but nor very often do they quite make sense when imagined as standalone English phrases. They are like something Tolkien would have made up, but squinted at through a pane of translucent glass, so that they become misshapen and strange. Here, for example, are some names of places from the countryside not far from where I live:
Yes, you can imagine why 'Wool House' would end up being a place name, and perhaps also 'Pyke Dyke' and 'Drowning Holes' (something dark is hinted at there). But most of the rest of the list inhabits a kind of limbo - almost making sense but not quite.
This is I think partly likely a result of an Anglicization of pre-existing Celtic names; hearing the locals refer to such-and-such a place with a Celtic word, the Anglo-Saxons would have heard something which to their ear sounded different, and over time would have developed a pronunciation which sounded familar to them. Hence we get the almost-English quality of 'Kitten Tom' or 'Sillywrea'.
But it is also simply the case that the real world has an impossibly rich history, and place names are produced by a continual layering of events, dialectal changes, population shifts and deliberate choices, one of top of the other, over the ages. A human author or game designer doesn't have a hope in hell of emulating this - there is not a DM in the world who would think to call a village 'Howly Winter' - and as a result there is generally something deeply dissatisfying about the names we tend to come up with. The best way to get around this is obviously just to grab a map (DEFRA's magic map is a good place to start) and start plundering.