::I don't think English speakers generally call the station "Wien Hauptbahnhof". I don't think they call it "Vienna Central Station" either. In my experience, it would be called "Vienna Hauptbahnhof", because many English speakers cannot even pronounce "Wien", however "Hauptbahnhof" has become an accepted term in English that is pronounceable. This is illustrated by this link, which shows that "Hauptbahnhof" is used in English. However, "Wien" is not. English speakers will not call the station or the city "Wien". 
 ::As far as "Cologne, that article was only recently moved back to the German name. However, I don't approve of that either. It doesn't make any sense to use a German name that many English speakers don't even know how to pronounce, when there is an acceptable English name for the city. The Prague article is even worse, as English speakers will have no idea how to pronounce the sea of diacritics, not to mention that Slavic names are inevitably harder for English speakers to read than German ones. We need to make these articles accessible to the English reader, and hiding them behind foreign names is a very poor idea.  —