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I often hear people referring to Loch Ness, as il lago di Loch Ness.
However Loch is the Scottish for Lago, so it appears to be redundant.
Consider the two sentences
Si racconta che un mostro viva nel lago di Loch Ness
and
Si racconta che un mostro viva in Loch Ness
The second one sounds awkward, and I wasn't even sure whether to put in, a, or nel.
Which one would be, grammatically-wise, more appropriate?
Grammatically, I agree that adding Loch would make the sentence redundant, but I think that it may easily happen that the name of a place in a foreign language loses its original meaning.
In this sense, I would argue that for the average Italian Loch Ness, if not even Lochness is the name of the place, without any reference to it being a lake, so that adding the word for "lake" is felt as to be necessary.
Of course this depends on how much the speaker knows about the particular toponym.
It's not specific only to Italian, actually. Once the name of a place becomes widely known in its "inseparable" form, it's often used as a proper name, without reference to its actual meaning. Particularly, the situation is the same in English (The monster lives in Loch Ness, not The Monster lives in the Lake of Ness), German (Das Ungeheuer lebt in Loch Ness), and French (Le monstre vit dans le Loch Ness).
In Spanish, though, the name of the lake is separated and translated appropriately: Una criatura legendaria habita en el lago Ness.
I wasn't aware that Loch means a lake, so the second sentence seems to me as if the monster lived in the town of Loch Ness. I'd suggest to use the first one as more used.
