I always approach fantasy names etymologically. Random name generators tend to generate incredibly generic sounding names. If you use a real language, but one most people aren't familiar with, it seems realistic without being obviously taken from a real vocabulary (and thereby destroying immersion).

As an example: my nation's name in the previous AoI was 'Aontas', which is just the Irish word for 'union'. Chose it because Aontas the nation was created as a union of two different kingdoms.