Not pretentious, PC. If one pronounces all place names as the natives do (so Moskova instead of Moscow, Wien instead of Vienna, “pock-e-stahn” for Pakistan, etc.) it’s pretentious. If one only pronounce place names from Muslim and Latin American countries like the natives, it’s political correctness rather than pretension.
I broke up with my college boyfriend when he insisted on calling James Madison’s home “Monpelliyay.” He argued that the French pronunciation was correct, even though it was an Americanized use of the word. Of course he said “Paris,” though, and not “Par-eee.” Douche.