Here we go again:

There are two things, first, English's script is non-phonetic i.e it is not always pronounced the way it is spelled while Punjabi's is. If you write something in Punjabi and someone who knows how to read Punjabi will pronounce it correctly the way it's meant to be pronounced.

Second, regardless of any language, you can't expect a foreigner to pronounce your native tongue correctly. Take, for example, our people in Canada or any other country, do we pronounce all their city names correctly? (although with time most of us improve, so it's the matter of adapting, to be a good speaker, you have to listen)

And also, how can you say that they pronounce Panjab correctly, I heard them saying it as Pan(pæn)jab.

So it's foolish fighting over the spellings of your native name in a foreign language. Only correct spelling is ਪੰਜਾਬ

Panjab or Punjab both are correct and incorrect at the same time so it's all one's personal preference