Cocteau is pronounced like: ****-tau |or| ****-toe
I've heard both pronunciations from many people and even on the radio. In the first one, tau, like the Greek letter (rhymes with DOW [i.e. Dow Jones Industrial Average]). I believe its more like the first, than the second.
I'm under the impression that if you asked the group, their answer would be as confusing as the pronunciation of their song lyrics.