It's close in Hebrew, but it's a hell of a lot worse if you're French-Canadian:
<blockquote>
A SHORT EMAIL from a French-Canadian friend of ours, Antoine, has pointed out that the Zune brand isn't as globally acceptable as Microsoft might like to think.
Unfortunately in French-Canadian slang, Zune is used to describe parts of the male anatomy. You know, your pecker, big-joe, schlong, etc, etc.
We're not sure this is a wise move on Microsoft's part (hehe), albeit its probably better than naming your device after what comes out of it. Take note Nintendo.</blockquote>
Source
A little too clever for their own good, I guess.