This is something that I see come up every so often, but seems a little odd to me. To expect another language, in this case English, to use another language’s name for itself seems an odd fit. The form of the word is not a comfortable fit for English and in this situation a word would normally be anglicised to fit within normative spelling and pronunciation expectations.
To use Cymraeg to refer to Welsh, when speaking English, would be like referring to Mandarin Chinese as pŭtōnghùa or take the sentence “Dw i’n siarad Sbaeneg”, should it now be “Dw i’n siarad español”.
I do understand that the etymology of the word ‘Welsh’ is problematic but I don’t think this is the answer. I think it is likely to create more push back and mocking than an increase in national pride.
Still, the more I mull over this, I think it’s all ελληνικά to me.