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I don't think it's a question of the correct pronunciation, just that the Scots pronunciation of the U sound differs from that of most other English speakers. A Scot would pronounce the name with a U like the French, or like a German U with an umlaut, 'Mür'. The Scot would also trill the letter R in the name, but I don't think they would expect all non-Scots to imitate them.