http://www.merriam-webster.com/dictionary/cheyenne
I can't listen to the audio version, because I don't have the necessary plug-ins. However, the phonetic pronunciations given are:
\shī-ˈan, -ˈen\
In other words, the stress is always on the second syllable.
I have never heard it pronounced with the "-'en" sound, but I guess enough people do that to warrant a mention in the dictionary.