At least according to google's 2003 year end zeitgeist:
http://www.google.com/press/zeitgeist.html (2/3rds down)

I'm left scratching my head trying to figure out why the Japanese would take
an interest in my Governor. For some reason, シュワーツネーガー seems to 
sound more natural to me. I can see how シュワルツ may seem more natural
to a Japanese ear, but no one in California that I know of pronounces his 
name even *close* to ネッガー.