Hm... In Super Street Fighter II, the voice over pronounced it Ree-you... I assumed that was the correct pronunciation.
Interesting tidbit about Japanese next gen Ninja Gaiden (I usually say Guy-den now, but every so often I'll slip up and say Gay-den).
On the topic of Ryu from Street Fighter... back in the day, did you say Ryu's name incorrectly (such as "rye-you")? If so, do you still say it incorrectly out of habit, or do you say it correctly now?