TAJIKISTAN
It is difficult to definitively state the origins of the word "Tajik" because the term is embroiled in twentieth-century political disputes about whether Turkic or Iranian peoples were the original inhabitants of Central Asia. The most plausible and generally accepted origin of the word is Middle Persian tāzīk meaning “Arab”. The Arab Muslim armies that invaded Transoxiana early in the eighth century, conquering the Sogdian principalities and clashing with the Qarluq Turks consisted, in fact, not only of Arabs, but also of Persian converts. Hence the Turks of Central Asia adopted a variant of the Iranian word, täžik, to designate their Muslim adversaries in general. As for Kazakhstan the Persian suffix -stan means "land" or "place of". Hence Tajikistan (Тоҷикистон - Tojikiston in Tajik) can be oddly translated as "land of the Arabs", although the Tajiks belong, in fact, to the Persian people and have little in common (ethnically, culturally and linguistically) with the Arabs proper.
TURKMENISTAN
The name "Turkmen" comes from Turk, plus the Sogdian suffix -men, meaning "almost Turk", in reference to their status outside the Turkic dynastic mythological system. However, some (local) scholars argue the suffix is an intensifier, changing the meaning of Türkmen to "pure Turks" or "the Turkish Turks." Muslim chroniclers like Ibn Kathir suggested that the etymology of Turkmenistan came from the words Türk and Iman (Arabic: إيمان, "faith, belief") in reference to a massive conversion to Islam of two hundred thousand households in the year 971. Since independence from the Soviet Union in 1991, the official name of the state has been the "Republic of Turkmenistan" (Türkmenistan Respublikasy / Түркменистан Республикасы).
UZBEKISTAN
The origin of the word Uzbek remains disputed. One view holds that it is eponymously named after Oghuz Khagan, also known as Oghuz Beg, a semi-mythological khan of the Turkic peoples. Another theory states that the name means “independent” or “the lord itself”, from Oʻz (self) and the Turkic title Bek/Bey/Beg. A third theory holds that the pronunciation of “uz” comes from one of the Oghuz Turks variously known as Uz or Uguz united with the word Bey to form uguz-bey, meaning "leader of an oguz (tribe)". The etymology we like the most is the second one and therefore we’ll simply accept that Uzbekistan (Oʻzbekiston in Uzbek) means “Land of the Independent (Lords)”.
KYRGYZSTAN
"Kyrgyz" is believed to have been derived from the Turkic word for "forty", about the forty clans of Manas, a legendary hero who united forty regional clans against the Uyghurs. Literally, Kyrgyz means “We Are (the) Forty”. The 40-ray sun on the flag of post-Soviet Kyrgyzstan is a reference to those same forty tribes.In terms of naming conventions, the country's official name is "Kyrgyz Republic" (Кыргыз Республикасы - Kırğız Respublikası in Kyrgyz).
DE JURE UNRECOGNISED BUT DE FACTO INDEPENDENT COUNTRIES
During the first chaotic post-communist years both diplomatic and military battles were waged for the sake of a territorial sovereignty both in the Caucasus and in Eastern Europe. The victory of the separatist forces led to the internationally unrecognised independence of four secessionist regions: Abkhazia, South Ossetia, Nagorno-Karabakh and Transnistria. Here is what their toponyms mean:
TRANSNISTRIA
This breakaway state squeezed between Moldova and Ukraine derives its name from the River Dniestr. Transnistria (Приднестровье - Pridnestrov’e in Russian) thus literally means "(the land) beyond the Dniester".