This has been a subject of some recent debate on one of the BBC messageboards, following the saintly Jeremy Paxman's pronunciation on University Challenge as 'Don Joo-an'. Jeremy could not possibly be wrong! Consternation all around. And then he compounds it, with 'Don Kwiksote'! Shock horror!
Apparently it all comes down to education. Those of us here in the UK who were educated in state schools tend to at least attempt 'the original', hence 'Don Hhwun', Don Kihotay; those educated at public (which is to say, posh private) schools have been brought up with the resolutely anglicised versions ('Can't be having with all that foreign nonsense, what?')
FWIW, the 'Don Joo-an's seem bonkers to me. 'Don Kwiksote'? No way Joes.
Alan Paterson
London, UK