Not difficult - but mispronounced by many people who don't live in the west:
Ne-VA-da (A as in at) is correct.
NOT
Ne-VAH-da (A as in raw)
YAY ME! - I got that without looking!
Nope.
Nevada is the Spanish word for snowy. In Spanish, a is always pronounced like a in ah, not as a in at. A as in "at" is sound that does not exist in Spanish.
I some ways pronouncing the a in Nevada with the same sound as "at" is like calling a "tah-co" a "tack-o". Both are Spanish words, with a pronounced as "ah".
That being said, their is some "slippage" when we import words into English. Sometimes we retain the pronunciation (and spelling) in the original language, but other times we modify it. So we do have some some slippage of the "ah" to the conventional English short "a" sound. All of the "San" city names in the names in the southwest are now commonly pronounced as "San", not "Sahn". But Los shifts around some. The Los in Los Angeles is not pronounced Lohs. But it is pronounced Lohs in names such as Los Altos, Los Banos, Los Cruces.
Loma is always "Lohma", not Loma. But we're inconsistent even inside a name. Loma Linda in Spanish would be "Lohma Leendah". So we keep the Spanish on Loma, but substitute the English for Linda, and pronounce it "Lohma Linda".
But in those cases the forms in both languages are equally correct. The mountains in Californian can equally be Sierra Ne-va-da or Ne-vah-da. It's perfectly fine to call Los Angeles as "Lohs Ang-hel'-ace". San Francisco can be "Sahn fran-Cees'-co".
Getting back to Nevada, both forms are equally correct in my opinion. When I'm conversing with my Latin American friends in English, they always pronounce it Nev-Ah'-dah.