Because Henry was introduced into England by the Normans and its pronunciation was close to "Herry" at that time.
You don't discover the history of a name simply by comparing its present-day sound to that of names in any other language of the world. You have to look at where the name comes from in the historical record. If you go back in early English history, it is quite clear that Harry and Henry were considered the same name because the same person is often referred to by both names. And there is no evidence for the use of Harrys, Haralampos, or any other similar Greek name in medieval England.