In Italian, "min-yola" (roughly).
Once the names get Americanized, then it's pronounced however the possessor of the name wants to pronounce it.
I remember during the Terri Schiavo case hearing in the news about this "Shy-vo" person. I didn't connect the name at all with the person I was reading about, because the name is clearly Italian, and in Italian would be pronounced "Ski-avo." But her Italian American family can pronounce it however they want.