A rant in defense of mis conventional pronunciation (relayed with approval by languagehat):
. . . Or were we planning on spending the rest of our lives saying “Paree” for Paris?
So to answer your question – no, I think it’s sad and silly to say things the way the locals do if there’s an accepted English pronunciation. . . .
I’m in the other camp, though I make an exception for Paris (and any other name that entered English long enough ago). Our word for Paris is taken not from the modern French word Paris (though they happen to be spelt alike) but from the medieval French word (if not the Latin word Parisios); both French and English have since had sweeping changes of pronunciation, affecting words like Paris (and Italy and Cæsar) no less than other words. The modern English and modern French pronunciations are thus equally legitimate.
But Nicaragua? There is no excuse for how the Brits pronounce that name or, as far as I know, any other Spanish word in which gu precedes a vowel. (If the u were silent as in Guards, that would at least be English!) If whoever imported the word from Spanish was educated enough to read the name, he was educated enough to import its natural pronunciation – and fit an appropriate English spelling thereto, if necessary. (To those of us with Spanish- or Italian-speaking neighbors, it’s -agg-yua and Maraa-ya that sound outlandish.) Accepted English pronunciation? What if no person of taste should have accepted it in the first place?
There is some kind of irony in the thought that, if tropical America had been invaded from England rather than from Spain, the car would be called Howar or Shawar rather than Jag-yua. (Writers of alternate history yarns take note.)