I must say that, being from Croatia myself, the first pronunciation (SHTE-fahn-ee-yah) sounds strange to me. I'm not saying it's wrong but shte-FAHN-ee-yah (stress on the second syllable) is by far the most usual. [noted -ed]
I know goricar's comments were posted quite some time ago, but also being from Croatia myself, I'd like to point out that the 1st pronunciation (SHTEH-fah-nee-yah) is used in those parts of Croatia where the "new" Shtokavian accentuation is used (Slavonia, maybe Dalmatia, but I don't think this name would be used there, I might be wrong though) and that's the pronunciation I and most other people around me would personally use. To me, the second one is the strange sounding one, but that just shows the diversity of our accent system. [noted -ed]