Pure ignorance, most of time.

It's also because there are proper names in the English-speaking world which are actually 'Columbia' - Columbia University in New York, British Columbia in Canada, and the movie company Columbia Pictures, for example. These are anglicised versions of the Spanish word, modified to suit English pronunciation. It's not normal to have an English word with two consecutive 'o' sounds pronounced 'ɒ' as in 'cot'. It doesn't sound English to have an 'o' followed by 'o', so it would be odd to have a US movie company or a Canadian province pronounced in this way. At least one of the 'o's is a /ʌ/ or a schwa, as in 'column' /'kɒləm/ or in the case of 'Columbia', two /ʌ/ sounds. As English speakers are familiar with the name 'Columbia' in North American contexts, people presume that the South American country name is the same. Sorry. It's not much of an excuse. I always say 'Colombia', by the way.

Of course, it goes without saying that mispronunciations occur across all languages.

I could just as easily ask 'Why do Spanish speakers always say 'London' wrong? Can't they hear that it's pronounced /'lʌndən/ not /lɒn'dɒn/? Why don't they say it properly? '

In terms of pronunciation, the issue is exactly the same.   The Spanish mispronunciation /lɒn'dɒn/ is no different from the English-speakers' mispronunciation of 'Colombia'. The only difference is that as English-speakers we have our own misspelling to reinforce our mispronunciation of your country's name!

One dictionary shows the pronunciation as follows: [kuh-luhm-bee-uh; Spanish kaw-lawm-byah]

IMHO... I would guess that pronouncing "kuh-luhn-bee-uh" is quicker and easier (requires less energy and less effort within an English speakers mouth).

So I wondered what the dictionary would say about the pronunciation of Columbia... guess what.... [kuh-luhm-bee-uh] ... same same same.... interesting. 

Personally, I prefer the Spanish pronunciation.

I'm not English speaker but I guess "Columbia" is related to Columbia, US city, "Columbia Sportswear", "Columbia Pictures" and so on. So people often bumble Columbia with Colombia. Perhaps I'm wrong.