My daughter was telling me about a concert she'd been to in Cadogan Hall, only the conversation was more about the correct pronunciation of Cadogan than the music. The correct pronunciation is Caduggan (with the stress on the 'dug'). The Cadogan family members are, and always have been, very wealthy Chelsea landowners.
By coincidence, there was an article on the Londonist website today about the pronunciation of some difficult London place names. The Bois of Theydon Bois in Essex is not pronounced the French way, as in Bois (bwah) de Boulogne, but as Boyce or Boyz. The L of Hainault is pronounced, but the L of Holborn is not. Although many of us say the mall of shopping mall like 'moll', the road in central London the Mall is pronounced to rhyme with 'pal', as is Pall Mall. The W of Greenwich, Woolwich, Southwark and Chiswick is silent (although we pronounce the W of Gatwick Airport and of Aldwych). The P of Deptford is usually not pronounced.
There is disagreement among commentators on the article about the pronunciation of Plaistow in east London. I've heard 'Plarse-toe', and that's what some of the commentators say, but others say 'Play-stow'.
Here's the article, with some informative comments.