I pronounce it Guh-roo-doh, as it reminds me of the pronunciation the word
Garuda (Guh-roo-duh) - the mythical bird figure of legend that is depicted as half bird/half human or a large bird. The Gerudo may have been loosely based on this figure, and the most prominent feature of the Gerudo - their large bird-like nose might attest to this. With that being said, the pronunciation Guh-roo-doh seems to fit.
However, there are many sources that might suggest that the pronunciation of Gerudo was originally meant to be Geldo (ゲルド, Gerudo). If one were to convert the Japanese katakana into romaji, it would read [g
eh-roo-doh]. The root of this name is believed to come from the
sand-dwelling enemies Geldman (ルドマン, Gerudoman) and Geldarm (ゲルドアーム, Gerudoaamu) introduced AoL and ALttP. The
Gerudo alphabet presented in
Hyrule Historia also seems to attest to this. Note: The "el" sound is "eru" in Japanese, as the language has no native "l" sound.
The above seems to hint at the possibility of two [or more] pronunciations. As such, it is likely left up to various interpretations. Personally, I prefer the "Guh-roo-doh" pronunciation.