Well, i find it is hard to read our some Chinese addresses in English, like Xi'an, Shanxi, which are actually originated from Chinese Pinyin. Can i read then in Pinyin (or read them in Chinese!).

Except most familiar terms, like Beijing, Shanghai, I used to read the Chinese addresses in Chinese.

Am I on the right track?
I am not sure that your meaning clearly, but all of "Xi'an","Shanxi","Beijing"and "Shanhai" are from Chinese Pinyin. Pinyin is Chinese's pronunciation. Read them in Pinyin and in Chinese are on the same way.
Do you understand?
What I mean is that when these Pinyin occurs in an English article, could I read them in Pinyin but not in English pronunciation?
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whatever, in my opinion

Pinyin's pronunciation is different from English letter's actually.

Have you ever learnt Chinese Pinyin?
That is why I wanted to ask.
I'm from China. And you?