I wouldn't go out of my way to correct other people, but I'd make sure to say it the way she wants it said all the time, and definitely try to fit the name into a sentence directly after a person had mispronounced it.
However, personally I've always considered it completely ok to pronounce names a little differently in different languages. My name is very very foreign in the country I live in and I accept most things, as long as people are giving it a shot. I'm annoyed when they're obviously not even trying. Like, I cared when I was a snotty teen for a bit, but I'm an adult now and realise I, too, don't say it completely "correctly" since I don't speak the original language my name is from.
Names that are the same in the different languages, like Eva, Alice, Peter, Maria, Jacob/Jakob, William, Dolores, Robert etc. I just pronounce they way they're said in the language I'm speaking. I'd respect if someone had strong feelings about it, but I don't think it's mispronouncing the name to say Eeva instead of Ehva. You're pronouncing it correctly in English. My children have names that work in three languages and we pronounce them all differently depending on the language. It's still the same name. I was brought up bilingual and this is how we always did it, and it was the same for my bilingual friends. You're Charles in English but you're Charles in French.
I mean even if you say Ehva you won't be saying it in pure Italian or French. (Which pronunciation is it she favours btw, they aren't the same in both languages? Edited: sorry, I see above you said French!) You'll be saying all the other vowels and consonants with an English twist. So it gets a bit pedantic. Like when people say Ibitha and Choritho. Nothing else in the word is in Spanish. Just the z!