Sioux rhymes with saulte, as in Saulte Ste. Marie, no relation to Buffy.  Who decided this?  I think it was the same authorities who decided Mille Lacs was pronounced Mlox.  More helpfully, some places they spell it Soo, as in Sooland, the vicinity of Sioux City, IA, South Sioux City, NE, and West Sioux City, SD, not to mention Dakota City, NE.