Because of the World Cup, people who haven't much focused on Qatar have been talking about, and there's been a cottage industry of articles about how to pronounce it—and about how people are pronouncing it "wrong" or "incorrectly."
Here's my modest contribution: There is no one transnationally correct way of pronouncing "Qatar," just as there is no one correct way of pronouncing "France," or for that matter of pronouncing the name of the countries we call "Germany," "Greece," or "Russia." Rather, each language has its own norms, which stem both from the sounds common in that language, and from the history of how a name has been adapted into the language. The "correct" way to call a country in a language is just a matter of what is customary in that language.
Thus, "France" is pronounced one way in French (with an "ah") and another in English (with the more familiar English "a"). In Russian, it's pronounced "Frahntsiya"; and that's even apart from the fact that the "r" sounds are different in the three languages. I imagine many other languages have their own pronunciations.