We don't call the country "Zhongguo" in English, we call it "China". So why do we let them tell us to call it "Beijing" instead of "Peking"? It's craziness. We gave up a perfectly good name for "Canton" and replaced it with an unreadable mess that isn't even in Cantonese ("Guangzhou").
If people who speak Chinese want to use pinyin, more power to them. But English speakers need to stop just copying other people's romanizations even when the romanizations do not connect to our spelling system at all.
It can’t really be called part of English in any meaningful way anyway.