i think it's illogical to start calling them vulcans right after first contact (we just don't know enough about them to use that analogy) so 'our' name for them should be more straight forward (hence the ears).
They're from a hot, volcanically active planet. Vulcan was the god of fire. That's why the hypothetical cis-Mercurian planet (which would obviously have been incredibly hot) was called that, so there's precedent.
At least one fan or tie-in work has claimed that the Vulcans' indigenous name for their planet is Ti'Valka'ain, which we would've simplified to Vulcan. But unfortunately Memory Beta and other online sources are bad at giving attributions, so I don't know where that came from. The online Vulcan Language Dictionary proposed Whl'q'n as their name for themselves, while the fan Vulcan Language Institute went with Vulkhansu, presuming that Vulcan was similar to Diane Duane's Rihannsu/Romulan language from the novels.
btw, nobody calls the romans anything but romans (i guess their aggressivenes plays a role here).
The Han Dynasty in China referred to the Roman Empire (which it traded with) as Dàqín, while later Chinese history called it Fulin.