And as evidence, some native English speakers have cited the surnames of such cinematic luminaries as John Woo, Sammo Hung, Gong Li, Michelle Yeoh (which is pronounced as "Yo") and Chow Yun Fat (who gets a double whammy in that "Fat" -- which many people erroneously think is his surname, and pronounce as "fat" -- sounds as funny as, and when coupled with, his real surname of "Chow").
Then there are those Hong Kong handles which have struck others as ranging from "the traditional to inventive to downright bizarre". To cite a few celebrity examples: "Fruit" for Mr. Chan the filmmaker; Mango for Ms. Wong the singer; and "Casanova" for Mr. Wong the kung fu movie actor.
Additionally, there are those surnames which ethnic Chinese speakers don't have a problem with but which many a monolingual native English speaker I know just can't seem to be able to pronounce: namely, the vowels only "Ooi" (which I have tried to explain is simply pronounced as "ooo-ee") and the vowel-less "Ng" (which I've directed friends to pronounce like "mmm", only with an "n" in front of it!).
(As an aside: A friend of my family would sometimes telephone me when I was attending boarding school in England. Whenever she did and I wasn't around, I would return to hear plaintive messages of "Mrs. N-G called" because none of my housemates -- and, for that matter, my housemaster too -- ever could pronounce her "Ng" surname! ;D)
For all this though, I'd readily contend that it's not only Asians -- and, perhaps in particular, the Chinese; this since I realize that all the examples I've furnished above are from that one ethnicity alone! -- who could be said to have funny names.
After all, it's not the Chinese who started the practice of calling their children "Martians" or "warring", "lame", "vanity" (or "worthlessness" -- or is it "meadow"?) , "sorrows", or even -- depending on the translation -- "snub-nosed" or "little hyena"! And if you're wondering what I'm going on about, the fact of the matter is that, unbeknownst to many, those happen to be the meanings of, respectively, Martin, Claudia, Abel, Dolores and Simon (all of them Western names which are fairly commonly in use to this day)!!
Furthermore, if you "translate" a name from English to another language (in a similar way as -- but converse cross-cultural direction from -- the procedure which makes Woo, Hung et al. seem so funny in English), you come across such as the problem that my American friend Lucy has told me that she has with her name over here in Hokkien-dominated Penang. For, to put it baldly, when pronounced as "loo see", Lucy turns out to mean "you die" in Hokkien...!!!
Consequently, cue conversations like the following:-
Hokkien speaker: What's your name?
Lucy: (to a Hokkien speaker): You die!
Hokkien speaker: What???!!!