It's one of those infuriating "inbred posh people" things. (Let's ignore what sounds certain letters of the English language are actually supposed to make, and pronounce this name in a way that is at odds with the letters that are actually sodding well there)
It's a bit like when "St. John" is pronounced "Sin-Jun" (as if having a middle name that is prefixed with "St." isn't bizarre enough anyway, regardless of pronunciation!) "Sin-Jun's Ambulance", anyone?
I might start insisting that "David" is pronounced "Sebastian", or something...
It's not posh at all...it's just a Scottish thing.
And it was previously spelt Menȝies, it’s just that “ȝ” (the letter yogh) doesn’t exist in English (or Scots) any more and has been replaced by “z” in spelling.