I think the most common example I come across are Spanish names when studying the perninsula war.

The two that always catch me out are 'Ciudad Rodrigo' which as far as I can verbalise it sounds like "Fray-dad-Rodrigo".

And 'Badajoz' which contrary to the spelling gets pronounced something like 'Bad-a-Hof.'

I have no idea how the Spanish spell the names of these cities but the spelling we use doesn't reflect the phonetic's needed to vocalise their names.

I suspect if the Romans had trouble pronouncing Boudicca they probably wrote out the letters that corresponded to what they heard. It would be a bit like me writing Fraydadrodrigo instead of Ciudad Rodrigo.