1. MAY-ha (with a short "a" sound like the "a" in "cat")
This is the most common pronunciation in Spanish-speaking countries.
2. MEH-jee-uh (with a long "e" sound like the "e" in "see")
This pronunciation is more common in English-speaking countries, especially in the United States.
To be sure, it's best to ask the person how they pronounce their name.