Recently some of my students were surprised to learn that Chicago is pronounced with a «sh» sound at the start, as with «shirt», and not with a «ch» sound, as with «cheese».
Even native English speakers can struggle to pronounce place names unless they have heard it spoken by a local. The end of the Scottish city Edinburgh for example is pronounced as «borough» /ˈbʌr.ə/. Pittsburgh in the United States on the other hand is pronounced /ˈpɪtsbɜːrɡ/ (PITS-burg). These names have connections to the Germanic word burg, meaning fortress, but people have chosen to pronounce their endings differently in modern times.
In Northern Ireland, the town Ballymena is pronounced as /ˌbæliˈmiːnə/ (Bal-a-MEAN-a), with an «a» sound in the middle. The origin of this name is Irish and can cause some confusion to those who haven’t heard it before.
So why is Chicago pronounced with a «sh» sound? Well, the city was actually named by French explorers so the pronunciation is influenced more by the French language than the English.
With all this in mind, what do I recommend you do? Well, listen to how locals pronounce a name, or search for the pronunciation online. You may find a dictionary definition or YouTube video where you can hear it spoken. Either way, don’t panic, if local people are honest, the spelling may be strange to them too.