They usually pronounce it as if it were spelt "coup de gras." ("coo duh grah," I mean, in case there's some question.) What does that mean? "Blow of fat?"
I can understand the belief that, in French, one pronounces none of the letters that are there. It's often true. But it's never, ever true when those letters are followed by an "e."
I think it would be better if people just gave up on the Frenchness and started saying "coop duh grayce," as they do with Havre de Grace in Maryland. That, at least, is evidence of a total and respectable contempt for all things foreign.
Come on, people, it's just French. The pronunciation rules are less phonetic but far more consistent than English. Get it together. Or stop pretending.
PS I'm considering a "France" tag. Thoughts?