Milo is indeed normally pronounced with the first syllable as the English word "my".
At least when it was shown in the United States, though, the name of the character
Melissa in "
Milo Murphy's
Law" was pronounced with the middle syllable rhyming with the English word "kiss", as shown in the following excerpt from You Tube at about 1:38:
https://www.youtube.com/watch?v=PKL3Xlequic