Tell Siri how to pronounce names.
You can also teach Siri how to pronounce names. First, launch Siri and ask her to say the name in question — i.e. if it's your name, ask, "What's my name?"
When she answers, tell her that she's not pronouncing it correctly. Make sure you use her pronunciation so that she knows which word you're talking about. Siri should then ask you how to correctly pronounce the name. Once you do, she will present three ways to pronounce the name. Choose the correct one, and Siri will remember it.