Ask a German speaker to say CLI. Probably comes out something like "clee". With the C like in "corn". C makes that hard German K sound.
I and my colleagues all pronounce CLI the English way btw. But growing up I had a hard time with the word „cache“. I pronounced it the German way which sounded very silly.
OH you mean a "Kache" (l)?
On a related note I find both "Kina" and "Schina" sound weird. It's "China". Like in "ich".
Similar thing with Budget. Up to this day my toenails roll up when I hear it pronounced like "Badd(dj/g)ätt" instead of "Bü(dj/g)ee".
If you are saying it a lot, you pretty quickly adjust to saying a 1-syllable word, instead of saying 3 syllables, whatever your moral stance is. :)
Plus, why should "GUI" get a pronunciation but "CLI" be neglected?
It's probably because the person who made the acronym or initialism had wanted it to be pronounced a certain way and chose a sequence of letters to achieve the desired result. Of course, the speakers of the letter-group will later decide when and how they will pronounce it!
Acronym: a word formed from the initial letters
or groups of letters of words in a set phrase or
series of words and pronounced as a separate word [1]
Initialism: a set of initials representing a name,
organization, or the like, with each letter
pronounced separately [2]
[1] https://www.dictionary.com/browse/acronym