As you can read anywhere, the football team was founded in December 1899 by a group of Englishmen and Italians as Milan Football & Cricket Club. It has been Milan since, except during the fascist regime, when it was forced to assume the name Milano (and the rival team Internazionale was renamed Ambrosiana).
Of course the pronunciation was as in English, /mɪˈlæn/. Similarly, the first team founded in Genoa was the Genoa Cricket and Athletic Club (later, Athletic was changed into Football).
But almost no Lombard, when seeing Milan written out would pronounce it /mi'laːn/, but /'miːlan/ or, more commonly, /'milan/ and similarly for most other Italian regions. Only in my region (Veneto) and some neighboring ones the natural choice would be /mi'lan/: this is how we call the town in our language, but not the football team. El Milan zuga a Milan (Il Milan gioca a Milano) would be /el 'milan zuga a mi'lan/, but this is Venetian language, not Italian.
Phonotactics of the Lombard language (and of Italian), that's all.