Being obviously based on AK-47 it, as many other titles in Destiny, has Russian word in its title.
Zhalo means "sting" in Russian and "zh" should be pronounced differently. For example, as you would say Jacques or Jean in French.
You can listen how it's pronounced on Google translate:
https://translate.google.com/#en/ru/sting
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No one pronounced Gjallerhorn right either. But who cares, the thing melted. R.I.P Gally 2014-2015