As a Dutch speaker, germanic not romanic language, the pronunciation of coup de grâce sounds weird to me as well. What's even weirder is an English speaker trying to repeat my name after me!
I'll never understand why the "ce" is not pronounced, while OTOH in many cases silent letters in French are pronounced in the English equivalent...
especially since the english pronunciation, as listened by a french speaking person, means literally "hit with fat", bringing to mind someone fishing off a creature by slapping it with a large piece of pork belly :-)