Some comments on the thread about pronouncing foreign country names (such as Qatar and France) raised the question of how we should pronounce foreign people's names. Here too my answer is: We should follow the English norms, which often depart from the norms in those people's native languages—just like, I expect, how foreigners follow their own languages' norms when pronouncing English speakers' names in those languages.
Let me give some illustrations from the two languages I know, English and Russian. When pronouncing Russians' names, there are at least two separate questions:
[1.] Translate or transliterate? Some famous Russians' first names are conventionally translated into English, when they are commonly understood to be translatable. Lev Tolstoy usually becomes Leo Tolstoy, Aleksandr Pushkin usually becomes Alexander Pushkin, the fictional Yevgeniy Onegin usually becomes Eugene Onegin, Piotr Tchaikovsky usually becomes Peter Tchaikovsky, Czar Nikolai II usually becomes Czar Nicholas II, Lev Trotsky usually becomes Leon Trotsky, Yosif Stalin usually becomes Joseph Stalin.