The expression double entendre is not used in French: it was used in the seventeenth century (and borrowed into English by 1673), but the modern form is double entente, or more fully mot à double entente 'word of double hearing' (or 'understanding').

But be warned: Fowler says attempting to "correct" it (in English) to double entente suggests more an ignorance of English than a knowledge of French.

As the second word entendre can't easily be pronounced in a native English way, I'd recommend using the French pronunciation for the first word as well. It's the French word double, not the English one, for what it's worth.