From hplovecraft.com:
"The actual sound—as nearly as human organs could imitate it or human letters record it—may be taken as something like Khlûl’-hloo, with the first syllable pronounced gutturally and very thickly. The u is about like that in full; and the first syllable is not unlike klul in sound, since the h represents the guttural thickness. The second syllable is not very well rendered—the l sound being unrepresented. (to Duane Rimel, 23 July 1934)
The best approximation one can make is to grunt, bark, or cough the imperfectly-formed syllables Cluh-Luh with the tip of the tongue firmly affixed to the roof of the mouth. (to Willis Conover, 29 August 1936)
In “Lovecraft in Providence,” Donald Wandrei claims that Lovecraft pronounced it “K-Lütl-Lütl,” yet in the above-mentioned letter to Duane Rimel, Lovecraft claims that Wandrei’s comments on the pronunciation of the term are “largely fictitious.” Robert H. Barlow, in On Lovecraft and Life, claimed that Lovecraft pronounced it “Koot-u-lew.” One can’t help but think that Lovecraft was toying with his friends, since everyone’s pronunciations differ, including his own. Ultimately, does it really matter?"
(Lose d100 Sanity)