For starters, the proper Dothraki pronunciation is [ˈxaleːsi], not [kʰaˈliːsiː]. That’s not canon from GRRR Martin, because GRRR Martin is a language dolt, but Peterson’s Dothraki is not mere funny-looking English.
Of course, it only matters what you heard the actors say on the TV anyway.
I agree with what Lara l Lord said: Lara l Lord’s answer to Is Khalisi a weird name for a baby?. I’ll add that, because “creative” names are reasonably recent in English, they remain contentious and subject to mockery, in ways that places with a more longstanding tradition of creative names won’t have: see discussion starting at https://www.quora.com/Is-Khalisi…
The mockery of people called Tarquin? Dharma? Neveah? Quest? The mockery of the names of Destiny, Mysteri and Cross, Carlton Gebbia’s kids from Real Housewives of Beverley Hills? It’s real. And it serves a social purpose. You may think you’re an untrammelled individual, and there’s no such thing as society. But there is such a thing as society, and mockery is how it enforces its norms.
See also Nick Nicholas’ answer to Why do English-speaking people often have strange first names?