Either one is correct. In Delhi especially people will write it as Chhau and pronounce it in the same way. The actual spelling that I found in Hindi most recently is छउ, which could be transcribed and pronounced as Chhu. This would actually be closer to the Odiya pronunciation of Chhow where the sound is much more narrow. However, it certainly puzzles me why the Hindi spelling is not छऔ (Chhau), or even छओ (Chho). All languages change over time and vary according to place and social setting. The pronunciation of a particular vowel sound or consonant sound can change gradually across successive generations. A change in pronunciation might initially take place only in one particular geographic location and remain local. In this particular field it is very difficult to keep track of how phonetical change occured since there is not much written record related to the dance and the tradition has been mainly oral. We can even say that the different pronunciations are irrelevant or not important enough to debate upon them. However, for me it is just another indicator of the lack of connection and communication between the homeland of this dance (Mayurbhanj) and the capital, the writers/scholars and the actual dancers, the theoretical and the practical.