When its name is already difficult to pronounce, it is going to be difficult to learn or worth learning. Therefore, you won't lose by skipping it. Go and learn something you are not afraid to pronounce, and that is God.
It doesn't sound stupid to ask them how they pronounce it. The Baha'i are a worldwide religion, so I doubt they all pronounce it the same anyhow. I'd pronounce it: Ba ha EEO (long e as in eek)