I've just asked my Swedish husband.... he says both pronunciations are correct. The difference is down to dialect. How you say it depends which part of Sweden you come from.
It doesn't matter whether the word is on its own or in a sentence.
The sk/skj/sj sound is pretty difficult for an English tongue (I'm told it's not that easy for a Swedish tongue either!). For me, it comes out as something like a combination of 'sh' (like in shiny) and a semi-hard 'h'. Hard to explain.