I am all in to pronounce names & places correctly, aka according to the original language. So, so dumb when a name is "transliterated" to another alphabet and now it doesn't mean anything to anyone, and nobody can read it correctly.
However, for well established names, might not worth the trouble.
Edit: For the uninitiated, that is: Krungthepmahanakhon Amonrattanakosin Mahintharayutthaya Mahadilokphop Noppharatratchathaniburirom Udomratchaniwetmahasathan Amonphimanawatansathit Sakkathattiyawitsanukamprasit