I would make this yet another addendum to my Kolkata entry below, but I think it deserves the prominence a separate entry provides. Grant Hutchinson has a brilliant rant on the subject of “correct” pronunciations of foreign names, as hilarious as it is spot on. This is a man after my own heart:
Yes, OK, but don’t you think it’s important to say things the way the locals do?
Ah, what a tempting notion that is. Who among us has not come back from some foreign trip intent on saying “yama” for llama, or “Nee-kar-agggh-wa” for Nicaragua, or “Mong-rrrhay-al” for Montreal? (I confess to a dangerous flirtation with “Budapesht” myself.) And who among us was not then kindly mocked by our friends, who pointed out jeeringly (but caringly) that such words were pronounced differently in English, and, since English was the language we had chosen to speak, could we not just speak it properly? Or were we planning on spending the rest of our lives saying “Paree” for Paris?
So to answer your question – no, I think it’s sad and silly to say things the way the locals do if there’s an accepted English pronunciation.