@happyjolteon, the pronunciation varies from region to region 
The ‘sigh’ pronunciation is typical of the Lisbon region accent and the usual media accent, which also corresponds to the main accent you hear on Practice Portuguese materials. The ‘say’ pronunciation is particularly common up north, and there’s also a ‘seh’ pronunciation (basically, just holding the E instead of pronouncing a diphthong), which is more heard around the southern parts of Portugal, if I’m not mistaken. All of these are correct.
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