The idea that this might be difficult to pronounce for a foreigner does not even cross their minds... For them, it's basic knowledge that anyone ought to know.
So, here, pronunciation is really worth studying. I have recorded all the names of Paris monuments, museums, main streets... in a slow pronunciation track that allows you time to repeat and practice, in my bilingual intermediate novel/travel guide "Une Semaine à Paris, a traveler's guide with a novel twist".
By the way, it's "lay shan(nasal) zay lee zay"
