I remember when I went to grad school and was waiting for a required meeting about student grants and loans, and a Chinese student came up to me. We spoke for a long while about the area, and she asked me what name I liked better, and proceeded to show me two English names she was going to pick because she believed her name was unpronounceable for westerners, and that people might mistreat her.
And, even if I'm wrong about Nikki Haley, it's clear there are lots of people of Asian decent who pick western names to assimilate, or choose nicknames to hide their culture. And, my reporters all face an incredible amount of racism on a daily basis.
Well, I live in both worlds.
When I grew up in Italy, I lived near Milan's Chinatown (Via Paolo Sarpi, basically). I had a good 20 to 25% of classmates that were Asian, many of them I am still in contact with somehow (Facebook, Chats, etc.). With the exception of one, all of them had given themselves Italian names: Sabrina, Paolo, Marco, Francesco etc. None of their real names were Italian of course. As far as I remember, many of their parents called them by their Italian name. What I remember is that it was very easy to mispronounce their Chinese name and they actually loved their Italian name. I only had one African classmate, he chose the name Matteo for himself. It's a very common thing for immigrants, and it's usually not because they are ashamed of their heritage, but mostly a practical thing to do and for some even fun.
Personally, I use my Italian name in 99% of the cases (it's not totally unpronounceable but by God, what I hear sometimes makes me want to die), but I must admit that sometimes I use an americanized version of it whenever I feel the other person can't truly understand my name. My name also makes for very interesting spellings at Starbucks (when I am not in the mood, I order using my Americanized name). Sadly, my middle name is even worse.
My firstborn has an Italian name, he was born in Italy and we had no idea that we were moving to the US back then. For him, it's a true nightmare. No matter how much some try, the mispronunciation and misspelling is overwhelming to the point he can't recognize when he's called upon. So he's known by everyone with his Americanized name (which was also his nickname).
My second son has an American name, he was born in the US. Funny thing, he has no problem here but when he goes to Italy they mispronounce his name and sometimes he is called by a nickname.
In other words, I am in the situation in which no matter where my family goes, we will be called upon correctly! I won't even get into my wife's last name which is barely pronounceable in what sounds as an uncoordinated mess with syllables, with no possibility of getting it spelled right. Her students will never be able to pronounce it right, so she chose to go with just the initial of her name (for example Mrs. X).
As far as I know, many of my current Asian friends here with names from other countries choose an Americanized name for the same reason, and it's never because they are ashamed of their heritage; heck, some even wear their traditional clothes. I think - can't prove it, but it's my opinion - that in those cases in which the individual thinks that it's necessary to change his/her name because of some shame on their heritage, the problem is more about shyness or misconceptions about the environment they live in.