It stems from the actual spelling:
SKOPJE (pron: Skop-YEH)
And the fact that many non-Slavs have difficulty pronouncing the later "JE" element of the name.
This rendition instead pronounces the "JE" as JAY, since it almost looks out of place when spelt in English.
Skop-jay all the way!
Nah shes not Maco shes from Skop-jay