ĉeĥo

This is the word that keeps a whole letter alive. Esperanto has spent a century quietly replacing ĥ with k, because k is made in the same place in the mouth: ĥemio became kemio, meĥaniko became mekaniko, and the Akademio officialised six of those k-forms in 1974. The escape route works until the destination is occupied. Substitute the k here and you get ĉeko, which is a cheque. Substitute a ĉ instead and you get ĉeĉo, a Chechen. There is no third option, nobody has ever proposed one, and so ĉeĥo is permanently irreplaceable. The full argument, including what the Akademio actually did and which other words are trapped the same way, is in the ĥ question.

The rest of the ethnonym machinery. Ĉeĥo is a person, ĉeĥa is the adjective, ĉeĥe is in Czech, and the country is Ĉeĥujo in the older -ujo system or Ĉeĥio in the -io one that has largely won. That pattern is the same for hungaro, ruso and the rest, and countries and peoples sets it out in full, including the awkward cases where the country came first and the people were derived from it.

Say it properly. Two hats, two different sounds: ĉ is the ch of church, ĥ is the ch of Scottish loch. Ĉe-ĥo, two syllables, and the second one scrapes. Say the ĥ as a plain h and you have said nothing very wrong, but you have also given up the only thing this word is famous for.