The "correct" pronunciation of the surname "Wagner" is best approximated in English by something between "VOG-neh" and "VOG-nair". It is a German surname, unquestionable derivation. But if I try to use that pronunciation for a guy I knew with the surname his family pronounced "WAG-nur", that makes me the asshole who is wrong. Names borrowed from other languages are weird, sure! Maybe there's an argument to translate everything into the language of use, like Catholics do (Pope Francis / Francisco / Franciscus etc., Mary / María / Maria / Marie etc. – so in an English sentence, the state of Snowy.). But while it is fair for me to think to myself generally that e.g. Kieran is an incorrect spelling of Ciarán, not listening to the people to whom a name is applied about what the name "correctly" is... well, it's a policy that leads down some pretty dickish roads. It's not about not acknowledging the language of origin, it's about acknowledging other context that also matters.
I'd suggest that listening to the ads on Spanish-language radio is instructive here, because for actually local actual Spanish speakers, even within Spanish sentences, there are pretty sophisticated contextual patterns about whether a place name gets a Spanish or English pronunciation; it's not that one's "right" to people who know what's "correct".
I will also note that despite being generally more open than most of my ilk to something like prescriptivism, I am a partisan here. There is a feeling of linguistic mob thrill I have never felt more than watching John Kerry come to speak at a packed Pioneer Square in Portland in 2003. Within his first couple sentences he said "OR-eh-gahn" to a gushing crowd and received widespread boos. The panicked confusion on his face: good, actually.