There are plenty of place names in and around New Orleans whose "correct" pronunciation would be incorrect in the original language, and which is also not how most strangers would utter them on a first try. Not unlike some of those Colorado locales Kat mentioned.

Some local street names:

Burgundy (originally French): bur-GUN-dy
Melpomene (Greek): MEL-puh-MEEN (and even, often enough, MEL-kuh-MEEN, but that's another story). Correct Greek is mel-POM-uh-nee.
Burthe (from ???): Byooth
Chartres (French): CHAR-ters (or CHAW-tiz, with a more pronounced local accent) ~ not "Shart-rghh," or however a French native would say it.
Carondelet: car-on-duh-LETT ~ another example where pronunciaiton that would be correct in French (in this case, "car-on-duh-LAY) is, perversely enough, incorrect in New Orleans.

Late-night TV commercials seem to be a source for some of the worst mispronunciations. It seems that some national marketers set up local post-office boxes in different metro areas, and the person doing voice-overs is expected to read each address at the studio in LA or NY, even though there's not way he/she could possibly know how to pronounce all those place-names from around the country.

The best & most common local example of this is when an address in suburban Metairie has to be read out loud. The correct pronunciation for anyone who's ever been in or around Metairie is "MET-uh-ree," often contracted to "MET-ree." (There's even a local taxi company called "Metry Cab.") Folks from elsewhere, understandably enough, very often say "meh-TAIR-ee" on their first try, thereby betraying their status as know-nothing outsiders.