But the thing is, I don't see why you would approximate the original language if you're speaking in English. If there's an English word/pronunciation for it, why wouldn't you use it?
There are English language names for certain places that have a somewhat standard pronunciation. Thus, Milano becomes Milan and Genève becomes Geneva. There are places in North America where, for example, the name in another language is pronounced in English (Los Angeles instead of Los Ángeles, San Jose instead of San José, Montreal instead of Montréal). On the other hand, who is to say that Ibiza in Spanish (ee-bee-tha) is to become Eye-bee-sa in English? We don't have standard English pronunciation and I, for one, prefer to approximate the original in the pronunciation of those names of places that are starting to enter the common English, rather than to come up with my own Anglicized version of a name. Don't see the harm in respecting the original name and pronunciation.
Ultimately, to each his own...