There's no rational explanation. The club is known in the English speaking world as Bayern Munich. Yes, "Bayern" is the German word for what is known in English as "Bavaria", and "Muenchen"(Munich) (note the 'eu' which is transliterated from the umlaut above the letter 'u' but does not exist in English, hence the 'eu'.
In the German language, an umlaut(two dots) is sometimes used above the vowels 'a' and/or 'u', and when transliterated to English are shown as 'ae'(Maennchen, i.e. literally a 'little figure') or 'ue'(Muenchen for Munich).
So, after that confusing explanation, just keep calling them 'Bayern Munich' - everyone else does.