If it were just an accent issue, either region of the country or language based, I would probably not correct tourists. So, something like Mathieu vs. Matthew, or "PAR-ISS" vs. "PA-REE" would not be worth correcting. The tourists would still be understood saying it in their own accent.
But to me, this is different:
I currently live in a country where the language is very unfamiliar to visitors. Letters that look like English letters are pronounced in very different ways than they would be pronounced in English, so often when we have guests, they will pronounce street names, restaurants, etc. in ways that are incorrect.
From this description, I'm picturing something like Russian, where B makes the "v" sound, P makes the "r" sound, H makes the "n" sound, the backwards N makes the "ee" sound, etc. -- and that the tourists are using American phonetics to read the words from the signs. In that case, yes, I would correct the people, because what they would pronounce would be totally unrecognizable from the real name of the landmarks, and I wouldn't want them to embarrass themselves, or have a difficult time being understood.