Same goes for Guile, but how many people pronounced it "gully"? Dan is a sticky one though. i always use the English pronunciation, as i've never known his name to be pronounced with the Japanese pronunciation outside of Japan and annoying J-otaku.
Well, with Wily being in Katakana (like Rockman and the rest of the crew) it's not like the English is altered from being something completely different in Japanese.
That's unless Wily and Wai-Ree really are fully dissimilar to you.