There are conventions for these things across Europe and elsewhere. Sometimes foreigners use the same spellings for proper nouns, sometimes different ones. A few examples might highlight the fact that this is a massive topic across the world.
Marseilles is spelt with an s in both French and English but everywhere pronounced MARSAY.
Lyons has an s in English, but not in French, but is pronounced in both places as LEE-On.
Antwerp in English is Anvers in French and Antwerpen in Flemish - and pronounced accordingly.
Geneva is Genève in French, Genf in German, Ginevra in Italian, and Genevra in Romanish and pronounced accordingly.
The French surname Jacques is usually pronounced JAKES in English.
There are often marked differences between the way Americans and British render foreign names. President Clinton (and most Americans) used to say KOOSOVO whilst British officials always said KOSSUVER.
These things are not so much the subject of rule as of conventions, often with little rhyme or reason attached to them.