I ran across the following amusing etymology in California Place Names, by Erwin G. Gudde (pronounced “goody”):
Coachella (ko-CHEL-a, ko-a-CHEL-a): Valley, town [Riverside Co.] …Since shells could be found in the valley… Dr. Stephen Bowers called it Conchilla Valley in a lecture before the Ventura Society of Natural History in 1888, after Spanish conchilla ‘shell’… and when the region was surveyed by the USGS before 1900, A.G. Tingman, a storekeeper in Indio, proposed the change of the name to Conchilla Valley. This name was accepted by the prospectors and homesteaders, and apparently also by W.C. Mendenhall of the USGS. At any rate, he used the name Conchilla as late as 1909… But the cartographers apparently misread the name, and it appeared as Coachella Valley on the San Jacinto atlas sheet—a “bastard name without meaning in any language,” as Mr. Tingman is reported to have remarked. But other inhabitants of the valley considered the name “unique, distinctive and euphonious,” and in 1909 the BGN made the name official.
Which explains why it’s not pronounced with the Spanish /y/ for ll: it’s not Spanish, it’s Bastard.
Addendum. You can investigate Gudde courtesy of Google Book Search.