In English we don't (always) let our own spelling conventions rule our pronunciation of foreign names; why should they in Spanish?

Probably because English has such an opaque spelling system that we're used to words not sounding like they look like they should sound; in Spanish, on the other hand, sounds are clearly indicated by the spelling, so there's no tradition of pronouncing things in unusual ways.

The Ogre defends unanglicized pronunciations here.