So, I was amused to learn from a colleague that this pronunciation conundrum popped up as a gag on '30 Rock' (the 'Fighting Irish' episode), where Alec Baldwin's character is named Jack Donaghy.
Liz Lemon: Can I help you?I couldn't find a video clip online (probably because the first season is out on DVD), but apparently Jack changed his name in order to succeed in business. From what I can tell, the 'Don-a-hee' pronunciation is more common in Ireland, and given the number of times I've had to correct people, it would almost be easier to change it back the other direction. But, what can I say? We're Irish-American - may as well own it.
Eddie Donaghy: Yeah, sweetheart: I'm looking for Jack Donaghy.
Liz Lemon: And you are?
Eddie Donaghy: Eddie Donaghy - Jack's brother.
Liz Lemon: Really? 'Cause Jack never mentioned a brother, and his name is "Donagee," not "Donahee."