In English, "UFO" (Unidentified flying object) is generally pronounced with each letter being pronounced.
By contrast, I've read in my textbook that in Japanese, "UFO" is pronounced "ユーフォー".
Is there any particular reason for the difference in pronunciation, such as one of the letters being hard to pronounce as a letter? Or is it relatively common for things that are pronounced letter by letter in English to be pronounced as if it were a word in Japanese?
It was probably borrowed from English pronunciation:
American English British English
Letter pronunciation /ˌjuː ef ˈoʊ/ /ˌjuː ef ˈəʊ/
Word pronunciation /ˈjuːfoʊ/ /ˈjuːfəʊ/
On the top, we have the pronunciation in IPA of the three letters UFO, one after the other. Where does the bottom pronunciation come from? Well, according to Wikipedia, this was actually the way it was originally pronounced!
The acronym "UFO" was coined by Captain Edward J. Ruppelt, who headed Project Blue Book, then the USAF's official investigation of UFOs. He wrote, "Obviously the term 'flying saucer' is misleading when applied to objects of every conceivable shape and performance. For this reason the military prefers the more general, if less colorful, name: unidentified flying objects. UFO (pronounced Yoo-foe) for short." (emphasis added)
So presumably it was borrowed from English as-is.
You can see this pronunciation for yourself in the Oxford English Dictionary, or in many freely available online dictionaries, including the Oxford Advanced Learners Dictionary and Collins Dictionary.