My name is Nathalie and I love it. It is spelled Nathalie in French but never pronounced "Na-zha-lee" like some people think, but more like Natalie with a slight difference. In French we say "Na-ta-lee"; in English it's more Nat'lee, which is fine. Just think of Thalie or Thalia as a derivative. Well, the right way to pronounce it is Tahlia not Zhalia.
/'naː.taːˌli/
After all, there is no difference in pronunciation between -t- and -th- in Dutch.
Sources:
• https://en.wiktionary.org/wiki/Nathalie#Dutch (in English)
• https://nl.wiktionary.org/wiki/Nathalie (in Dutch)
• https://nl.forvo.com/search/Nathalie/nl/ (in Dutch) [noted -ed]