According to dictionary.com, it should be pronounced KAHN-ut or KAHN-ukht, its alternate spelling, Connaught is pronounced KAHN-awt, which is how I always assumed it was supposed to be pronounced. However, in the Gamespot interview, Scott Campbell pronounces it kuhn-AWT, with a schwa in the first syllable and the accent on the second, contrary to to basically everybody. AFAIK, it was never spoken in the first two games, so we don't have a definitive answer.
He also says all the Fallen Lords were good 1000 years ago, when the Watcher definitely wasn't, and we have no info on whether the Lurker or Faceless Man were.
And he previouth. I hope the voice actors don't use his pronunciation as a guide.