First they made us pronounce her name correctly . . .
By . . . and I said nothing because I had an Armenian name.
Beside the general weirdness involved in asking what the protocol for pronouncing someone’s name is, (how about “like the person does?”) I’m frightened and confused by Krikorian’s suggested English pronounciation of Sotomayor. I mean if you’re anglicizing it wouldn’t you pronounce “mayor” like the mayor of Cleveland, not like “meyer?”
On the more general point, I think the correct etiquette in these situations is for the non-native speaker of the language from which the name is derived to try and fail to pronounce the name as it’s pronounced in the person’s native language, and for the person to ignore the mispronounciation. That’s what I do anyway (in both directions).