As per wikipedia:
The name Nevada comes from the Spanish “Nevada” [neβaða], meaning “snowfall”, after the Sierra Nevada (“snow-covered mountains”) mountain range.
Most non-Westerners pronounce the name /nəvədə/, with the ə of “father” after the imagined pronunciation of the Spanish, which annoys locals. The most famous case of this was George W. Bush’s faux pas during his campaign for the 2004 US Presidential Election. Vindication later came when President Bush campaigned at the Reno-Sparks Convention Center on June 18, 2004. The president opened his talk by proclaiming that “It’s great to be here in /nəvædə/,” the crowd roaring its approval when he light-heartedly noted “You didn’t think I’d get it right, did ya?”
I think I’ll stick with the Spanish way. Like nay-vaah-daah.