Western names are not pronounced correctly in the US either. Apart from names of British origin, all names in the US are essentially butchered.
I am not sure why Asian names should get special treatment. No American ever pronounce my name correctly. Nor do they pronounce pretty much any Norwegian name I have encountered correctly. The same would apply for much French, Dutch, German, Italian, Czech and many other European names.
I don't care that Americans say my name wrong. Anyway I don't think about it as "wrong." To me it is just the way my name sounds in English.
What bothers me more is that Americans are seemingly completely incapable for writing "Erik" correctly. Insisting on correct prononciation is hard, because English speakers cannot make every possible sound in another language. However thye can see that I sign me emails with "Erik," yet they respond with "Hi Eric." Like what is the excuse for that? Even Americans have the letter K on their keyboards.
Your name Yu-Ju would sound different in Norwegian than in English. E.g. we would not have said "yoo-joo," although we would not have said it in the Chinese way either. At least not based on how we see it written. It is impossible for people to know how a name is supposed to sound in written form.
But this applies to all names. Whether Asian, French or Nigerian the name will like get a Norwegianification. That happens in every country I assume. Just like if I went to Asia, I am sure my name would get altered to fit with the sounds which are natural for people to pronounce there.
But perhaps a significant problem in English is that, English has such bad spelling system and isn't very phonetic. Thus almost all names tend to get butchered in English. Florence instead for Firenze, Cologne instead of Køln etc.