But Sophie and Natalie are pronounced very similarly in both languages. And actually the French emphasise the -ie of Sophie whereas many English say SO-phie, so we have anglified the name a little.
The French would never ever pronounce an English name the English way - think how they pronounce Thomas (without the s) or Fabian (without the n), so why are some Brits so keen to pronounce Louis the French way?!
The Americans, Germans, Swedes, Norweigans, Dutch etc etc all pronounce the name Louis as it is written, Lou-is, despite it being a French name originally.