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When I mentioned to friends I had recently been to Benalmadena in Spain, I was corrected on its pronunciation. I had chosen to pronounce it in an English way rather than in a Spanish pronunciation. After all, I wouldn't say Paris how a Frenchman would say it.
If I use the native pronunciation of a foreign city I might look pretentious. If on the other hand I use the English pronunciation, I might then get corrected with the alternative.
Which is the correct convention please?