For the record, I'm fairly sure how to pronounce Neuburg but much less confident I'd get Neuchatel correct.
Especially when the circumflex has been left out so you have no reminder of how used to be written and pronounced.
États-Unis is quite respectful as it literally describes how the country wants to be considered: United States. It is only if you don’t find the term meaningful that way you would want someone to uncomprehendingly parrot the sounds.
But no, everybody must be pissing on their little sandbox - Neuchatel has to be Neuburg, although both are perfectly pronounciable in both languages. US has to be États-Unis. Practically every effin' language has this.
I'd say using original names and how they sound shows some proper respect towards given place, country, people, culture and its history. Shows you actually make some effort, and also shows having some class. But I can only wish this was a widespread opinion.