I don't understand how it's any other way (even according to this site it's "shie-AN"). How does "enne" = AN or ANN? And since Cheyenne is the name of a Native American tribe (and a city, etc.), it seems illiterate to me (just IMO!) to spell it any other way thus butchering it and making it into something pryttie. *sigh*
BTW, all the little Cheyennes (incl. Shyanne, Cheyann, etc.) I've met pronounce their name shy-ANNE. Just for the record. It's just about the worst name ever imo, though. Also just for the record. ;)