It makes sense, doesn't it, that if you're going to get the most out of Proust you're going to have to know the meaning of mauve. It looks for all the world like a French borrowing to me --or, should I say, it looks like still-unborrowed French, mute and inscrutable as the rest of that language to me.
If I had to guess what color it refers to, I'd report that it brings to mind a deep purply rose, redolent of rosewater and swathed in a fog of rose-vapors. And as to the pronunciation, I have to say I can't choose between rhyming it with Raskolnikov (unless you put -off on the end of it, I suppose) and taking the preciously pretentious-sounding --vaugely French, even?--option of rhyming it with Karl Rove.
Let's check the desk dictionaries, shall we?
American Heritage, 4e calls it 'a moderate grayish violet to moderate reddish purple.' And they want to me to rhyme it with Rove! Who do they think I am? I have half a mind to spit a mouthful of just-this-side-of-tepid bergamot-tinged tea all over my volume of Within a Budding Grove. Hey, that rhymes with mauve too.
So, the etymology entry tells us the Latin source is malva, which is still the name of a genus of mallow-flowers. We're then directed to MALLOW where we learn that the Latin word is probably of Semitic origin, from the root mlh (the 'h' should have a dot under it; I don't know Unicode either), that root is used in words for 'saltmarsh' where these mallow-flowers must grow, and where they take their name from; mlh is also the root of the Hebrew word for salt.
So, send in your recipes for salty mauve marshmallows now.