Actually, not being from the state I now call home, I have been known to call it eel-ee-nwa. I don't do it often (like I said, I try, for the most part to blend in, party of my military brat upbringing). Actually, sometimes many generations locals and I get in conversations, and I tell them that the tribe of Native Americans around here were called the Illini (I may have that misspelled) and the early French settlers called this Illinois. In other words, place of the Illini. Like Tourquoise, the color, means Turkish in French, and Chinoise (think antiques and the Eastern correspondent, Chinoy, I think his name is), simply mean "Chinese" in French.
But, hey, I've got a thing for word origins. Sort of a hobby for me. But like I said, for the most part I pronounce words the way the locals do. It's pop here, soda there, and my grandparents called it tonic. It's a water fountain there, a bubbler there.
The one thing I'll never get used to is Ant for Aunt. Luckily, now that I'm a grand-aunt, I've graduated to being Ma Tante! So no longer to I have to cringe when someone calls me "Anne-tee"!