Learn English – ny convention for pronouncing proper nouns

Is there any convention as to how proper nouns with origins outside English should be pronounced? I have heard claims to the effect that "a proper noun
can be pronounced however you wish"; is that correct?

I work in an international environment, and it is rather common for me
to have colleagues with foreign names. Actually, I'm not a native
English speaker either. I go by the rule: "pronounce as it would be
pronounced in its original context or language".

A few examples:

1. The letter J is pronounced very differently in English, Spanish, or Dutch.
   For example my Spanish friends use ja ja to denote laughing in instant messages; the
   Dutch pronounce ij like the vowel sound in hay (e.g. [rij]
   http://en.wiktionary.org/wiki/rij).

2. The vowel sound represented by oe in English is pronounced as in
   toe, but it is often used to approximate the German ӧ sound
   (e.g. Schrӧdinger). In Dutch, this same combination of letters
   represents a vowel sound similar to the English word loop.

3. Sometimes it is not even possible to accurately represent a sound
   in English, instead it is replaced by some approximation. As
   examples you could consider many of the Hindi or Bengali names (or
   names from any other Indian languages for that matter).

I found this
question
earlier, but I think it does not answer my question as it seems to
address how English names are to be pronounced by non-native English
speakers.

Edit: To clarify some of the doubts expressed in the comments; I
am primarily interested in personal names although a more generic
guideline would be helpful. I'm an aspiring Physicist, and I often
encounter standardised terminology with non-English origins.