To me it has a very 'U' sound about it.
No no no, you've got it all wrong. The sound of the letters "e" and "r" sound like "eeee" and "arrrrr". Naturally, when you put them next to each other and blend the sounds you get the "er" sound. "Er" is a function of "e" and "r" - the "ur" phenomenon is the oddball.
In German the "ur" problem is handled better. When the letters "u" and "r" are placed next to each other it doesn't make an "er" sound like "urban"; instead, it makes an "ooer" sounds, like in the word Geburtstag. The "er" sound isn't as sharp as in English. There is no "er" sound in German - even when you put an umlaut over a "u" it sound like "yer" and an umlaut over an "e" sounds like "eah" (as best I can spell it). For example, "ër" sounds like "air" with a flat "r".
In American english, I believe data is normally pronounced da-da (The closest approximation I can do; I don't know the phonetic alphabet, and Ts in the middle of words are often Ds in American English I find). This is opposed to the British English, which is usually day-ter.
We pronounce "data" as "day-tuh". Often in situations like this we don't annunciate the "t" and it sounds like a "d", but the word is always understood as being spelled with a "t" somehow; even young spellers never get this wrong
German has inadvertently given me a better insight into English
I have simply given up on the English rules of "ie" and "ei". I misspell more than half of those words on purpose because there is no rule that makes any sense except the German rule. If it makes an "I" sound, it is spelled "ei", and if it makes an "E" sound, it is "ie". Every single time. Since that's the only rule on the planet that makes sense of the issue, it's the rule I use!
EDIT: Funny fact, a friend of mine just recently heard of the company Abarth through the British Top Gear show. He had never seen the word before, and through hearing them say it he always said "Ab
ahth". He said it to me one day - "Did you see that new Abahth?" - and all I could muster was a mean look and "What the hell is an abahth?"
"You know, the new Fiat. The Abahth."
"...Bro. It's pronounced "Ab
arth. Look, this is how it's spelled..."