why do we always change the case? magyarorzagon lakom, laksz japanban. do we also say 'hol laksz japanon?'
It's only with Magyarország (and some Hungarian cities, including Budapest) you use -on/en, -ra/re and -ról/ről. With most of countries you use -ban/ben, -ba/be and -ból/ből.
There is a more extensive listing and explanation here, if interested: