Fantasy settings are full of oddly placed umlauts, strange hyphens, and awkward apostrophes that are often maligned online. Which is unfortunate, since coming up with names is one of the hardest parts of writing, and approaching it afraid of committing one of these cardinal sins doesn’t help. But it really isn’t something anyone should worry about, because in the end it’s just mashing syllables together until something that sounds like a noun comes out. Besides, plenty of real words sound strange if you think about them long enough or if the language is unfamiliar to you. Hyphens, umlauts, apostrophes and other unusual characters can be totally appropriate in a name so long as they are not used excessively. One of my favorite fictional names contains an asterisks, and belongs to the Gzilt ship 8*Churken in Hydrogen Sonata by Ian. M. Banks, simply because it is so alien.
When done with a bit of thought, names can communicate aspects of your world’s history and culture without beating the reader over the head with exposition. While at the same time providing plenty of fodder for online fan theories.
Theme is something to consider when coming up with words and names for your setting. Building an entire conlang can be tempting but it is a huge sink of time and effort, and will be difficult for someone without a background in linguistics. It can still be worthwhile though, just like worldbuilding for its own sake can be worthwhile but unless you’re Tolkien designing multiple languages for your setting is probably more than you have time for. Names should still have some consistency though. Unless you are aiming for a multilingual or multicultural faction I’d recommend trying for uniformity in naming conventions to aid immersion.
My preferred method of naming is done by drawing upon real world examples. Much of worldbuilding consists of taking elements from our world that readers will be familiar with and mixing them together to create something new. Drawing on the real world has several advantages; there’s no need to redefine what a sword is or what it’s like to work in an early industrial textile mill. Most readers have some idea of what things are like already. The same can be done with names.
If you have a handful of real world cultures that you are using as inspiration you can use the languages too. Want readers to compare your country to the Holy Roman Empire? Use words like Kaiser and Diet. Want readers to imagine the grandeur and scale of your Rome-inspired faction? Then Latin and Italian may become your best friends. You can insert references and easter eggs, change spellings to make the words your own, and make mundane place names interesting by translating them into languages that are unfamiliar to your audience.
How much do you need to change? Depends.
If you want to really make the world your own then you can use real languages as a basis to create new words. Breaking real words into their component sounds and rearranging them can be a fun exercise to create convincing and easy to pronounce words for your world that will sound new and believable to your readers.
Of course, you don’t need to make your own words at all if you don’t want to. Sometimes the simplest names are the best, and lifting real-world names and placing them in your setting wont matter much to some audiences. Just look at Warhammer Fantasy, the setting is over the top and dripping with grimdark, and takes just about all of its nouns from our world. The Empire’s heavy German inspiration is immediately apparent, and the French and English influences on Bretonnia are likewise obvious. If you take this route you’ll want to be careful to avoid unfortunate implications, like making your orcs out as invaders from the eastern steppes. Don’t do that.
Finally, once you’ve decided on naming schemes you can use them to show your settings history and influence the interactions between characters. A multi-national empire will be filled with different language groups and unless a great deal of effort has been expended on suppressing local dialects characters should be able to encounter names derived from a plethora of different languages. Meanwhile, isolated mountain communities may speak dialects that seem strange to outsiders and cause miss-understandings if different implied meanings or false cognates come into play.
In the end, naming and conlangs can be fun and if making original names is your thing then it can be immensely satisfying. But like many parts of worldbuilding it can easily get out of hand and distract from the story you want to tell. Most people wont care too much anyway as long as their immersion is left intact. So have fun naming. Your readers wont mind.