Actually,it would be better to think of the word 'khawaga' as meaning 'westerner' while the word 'agnabi/ajnabi' means foreigner.
I actually like the sound of the first letter, but that's just personal preference. The first letter/sound is certainly not a nasty sounding letter "even by the standards of Arabic" because it is a standard Arabic letter and sound. Also, the structure of the word is a very common one in Arabic. There is nothing unusual about it.