I noticed it, but whatever. She's grown up around people (outside of family) who would have pronounced it that way and she probably at some stage just gave up correcting people. Kind of like how Sharapova doesn't care that Americans have been slaughtering her surname since the moment she broke through.
In Brisbane I remember calling out "C'mon Je-le-na!!!" and feeling like a total tool with everyone else that I could hear shouting "C'mon Je-LAY-na!!!"