I know this is an age-old joke, but I just want to point out that it's essentially just anglo-centric condescension. It treats words or names in other languages as Other, and as if they're not worth the time or respect to try to pronounce correctly. But every language and culture is equally valid (presuming respect for human rights), and most native speakers of any language appreciate foreigners doing their level best to speak their language or say their names correctly.

I am not suggesting that you possess any of the negative qualities connected with the joke, and I'm sure most people have just never thought about it. But it's worth considering how we can be kinder and more inclusive to others in small simple ways - such as by not joking about how their names sound.