You are not the first person to ask that. I have not found a word in English that has the same sound as the <u> in my name in French. <u> in English almost always sounds like the <u> in Duke so that is why I answer to Luke which is the English translation of my name but not the same pronunciation.
Even when I pronounce my name correctly in front of an English person they can't duplicate the sound. It always comes out differently.
Even in the series Star Trek Next Generation the crew would pronounce the name of Captain as Jean-<Luke> Picard when in fact his name was spelled like mine (Jean)-Luc.