means Worship, devotion, prayer, and praise; act of worship or devotion, offering, oblation, sacrifice (the former meanings prevailing in Ved, the latter in post-Vedic literature) M. Monier- Williams, A Sanskrit English Dictionary, 1899, 2002, p. 839.
In our context, the post-Vedic meaning is relevant.
If you would want to pronounce it, looking at the spelling Yagya, you are likely to come relatively closer to how it is written and pronounced in Sanskrit, using its original Dev-Naagri script. Letter A in Yagya is pronounced as U in But. G in Yagya is pronounced with a nasal sound. You may, however, choose to follow spelling Yajna, and practice its pronunciation with a wrong accent. The choice would be entirely yours.