How you pronounce place names in a foreign country is interesting. Even 4 letter Oslo has an established pronounciation in English (Oz-low), that is quite different from the Norwegian (oosh-lou). Speaking English I use the English pronounciation, and yes, I'd think it a bit affected if English speakers used the Norwegian pronounciation. It would be like me talking about Paris as "Paree" because that's how the French say it.
But not many places in Norway have an established English pronounciation as far as I know, probably because we're a small country that doesn't figure much in the news or the history books

And only a handful of towns that can pass for cities. For all these other place names I'd prefer English speakers to at least attempt the Norwegian pronounciation, because the on-the-spot Americanization sounds awful to my ears.
So for some reason that doesn't sound affected, just respectful. I have no idea why I sense a difference.
We also have some very heavy dialects here, which can lead to place names officially called one thing and locally called something almost completely different. Even I don't know if I should try to attempt the local dialect or not!

Either way I'd be laughed at as a city girl...