This has certainly been the traditional custom in the King's English. I have never heard an English person say "Paree." (Americans do so occasionally to try to sound cool. Then everyone says, "Where?"

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Speaking of the king, if your family came from France and was named "Roi" you have the choice of going with "Roy" pronounced as in Roy Rogers or of changing the spelling to "Waugh" as in Evelyn Waugh.
Hockey fans here in Detroit used to think that the Colorado Avalanche had two goalies, a guy named Roy and a guy named Wah. (French Canadian Patrick Roy.

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I think that is kind of a lost cause. English speakers cannot duplicate the initial sound in Nguyen. I think most second generation Vietnamese in America are reconciled to "Win."