First, make sure that difficult-to-pronounce name is necessary to the character or the story. It can be an obstacle to some readers, so there should be a good reason to use it. If not, stick with a name that has a more apparent pronunciation.
The protagonist in Judith Clare Mitchell’s The Last Day of the War has a first name that’s only four letters, but can be tricky to pronounce if you’re not familiar with it: Yael. But her name is vital to the story. It broadcasts her Jewish heritage, a fact she wants to tone down when she applies to join the YWCA as a canteen worker in Paris during the First World War. Yael petitions to change her last name from Weiss to the less revealing White. When she does, a clerk at City Hall also transposes the last two letters of her first name and she becomes Yale White. Her true name, and what it reveals about her, comes back to haunt her later when she’s in Paris.
Some authors like to clarify pronunciation of an unfamiliar name. A guide can certainly be helpful as long as it doesn’t feel cumbersome. Don’t worry about covering this at the first mention of the name. Explanations are most effective when integrated into the storyline. In The Last Day of the War Yael runs into a young man she’s known since they were children, and who she was often paired with because they were the only two Jewish children at the school. Mitchell first broaches the topic of the pronunciation of Yael’s name several pages into the novel by describing what it does not sound like:
A perfect pair, and the little girls chanted rhymes linking the two, mangling their impossible names, changing Chaim to Hyram, pronouncing Yael so it rhymed with jail. Everyone in St. Louis pronounced her name that way. Even she pronounced it that way unless she was being especially deliberate.
Later, when Yael is in Paris living as Yale White, a man who is suspicious of her breaks into her room and finds the letters her mother has written her, discovering her real name:
He looks at the greeting again. He is not misreading it. Every letter begins this way: Dear Yael.
“Yah-el,” he says out loud.
Don’t feel like you have to give an explanation at all. Plenty of authors leave it up to the reader. Some readers will investigate to figure out the correct pronunciation, while others will be happy to settle on one for the duration of the read, whether it’s right or not.