You are missing the point entirely. The katakana is only used because this is where the game originated. If any character was written in Japanese media (magazines etc) then this is how they will be written. It is nothing to do with where the character comes from. Check how it's written here Dhalsim - Japanese because it is a Japanese creation and second - where the name comes from (Malayalam, Korean, Chinese  or whatever). Hwang for example should be first - Japanese: ファン・ソンギョン Fan Songyon and then where the name comes from in Korean language written in Hangul/chinese characters. You are being ridiculous by thinking about where the character has lived and how they would write their name. They are fictional Japanese creations and that's all there is to it.