This is an interesting question! Since the Sesotho language was not written until the arrival of the first European missionaries in 1833 (a trio of French men), there is no “native spelling” and Sesotho has only been written in Latinate characters. Even now, the only consistent variations in Sesotho spelling are slight differences between the writings of South Africa (originally transliterated by the British) and Lesotho (French).
As for the internal capitalization, that is a longstanding division between white writers, and either is considered correct. Two of the foremost authorities on Lesotho use two different styles, with Elizabeth Eldredge favoring the “seSotho” spelling and Scott Rosenberg, et al., spelling it “Sesotho.” Syntax is not my forte, but the way I understand the distinction is thus: capitalizing the second S is an effort to demonstrate that the -Sotho stem is the proper noun in that thought, while se-, ba-, mo- are only prefixes (essentially the equivalent of articles) and should not be capitalized. I tend to side with Rosenberg on this, feeling that capital letters in the middle of a word are both confusing and slightly exoticizing.
So, to make a long story short, the spelling “Sesotho,” “seSotho” or “SeSotho” is as native and accurate a spelling as there is. I just took a quick glance at an English-language newspaper in Lesotho and saw that they seem to prefer “Sesotho,” for what it’s worth [paragraph 11].
Friends of Lesotho