ka LEEla. To my ear, the Scots seem to like to migrate the consonant from the end of one word to the beginning of the next. They also say por TELLen.
I don't think that vowel quite exists in English--it's somewhere in amongst call and cull and coll. Speakers of one language oughtn't be too fussed about pronunciation of words in another language, in everyday conversation. Just get somewhere close. Or else just anglicize it once and for all--I note that Americans pronounce the word "fillet" as "fillay", whereas Brits say "fill it". Whatever. The way folks pronounce "lingerie" is just a crime, though.
However you say Caol Ila, just don't spell it "Coal Ila".