Just to confuse things, Halley never called himself this - and this name seems to appear only on his death certificate. He used the older English name which is pronounced as "Haw-ley."
You can read this in the second footnote of the American scientific writer Norman Thrower. This can be read from the JSTOR article front page at;
http://links.jstor.org/sici?sici=000...2-K&size=LARGE
As need for the earlier validation statement; "Indeed it should be "HAL-EE" and I should know, I have a Ph.D." is just appallingly insipid - the least said the better...