The pronunciation is uu-la-LI (see the key). The French "eu" hasn't an equivalent in English, but it's a bit like the "u" in "jump", for example. The name is very rare in France, and seems old-fashioned. [noted -ed]
Marie-Amelie's comment is right. The French eu is pronounced UU according to the key, not YOO. It's kind of an 'err' sound. So, in French, it would be pronounced err-la-LEE. [noted -ed]
Actually, I believe the French EU is pronounced much like YOO, just like we normally pronounce it. If it was Ulalie, then you'd be somewhat correct but in French I believe it's pronounced yoo-lah-LEE. I take French in school. In English I would pronounce it YOO-la-LEE. Never yoo-LAY-lee. That reminds me of ukulele.