Not a current situation, but something that's played on my mind many times since knowing this person.
I used to have a colleague called Joao, a Portuguese fellow. We didn't work particularly closely together but he was known for getting very annoyed when those further down the pecking order than him didn't say his name the Portuguese way. He did seem happy for his superiors to call him "Jow".
I can't think of anyone else I've ever come across insisting that their name is pronounced their native way. In fact, nearly everyone I know whose name doesn't gel well with the English accent has always introduced themselves and then said "call me X" (X being a version of their name that an English accent can easily manage).
I don't really know what the reasonable expectation is in this situation. It must be frustrating when people always say your name wrong but equally I've seen how difficult people seem to find a mid sentence accent change...most people simply tried to avoid ever actually addressing him by name!