Not that this is relevant to how Ryder wants to pronounce his own name, but the place Hesjedal (where his name originates) is a little valley out west in Norway, pronounced something like "Heshe-dal."
"Sj" is just another way of writing "sh."
The "Hesh" and "dal" is pronounced sort of like in that Canadian TV clip, close enough. Emphasis is on "Heshe." You just replace their "jiyah" middle part with a short "e".
Heshedal, basically. Bit easier to say than "Hesh-jiyah-dal". But if that's how he says it then it's all good.
During the TdF last year, Ryder got a videogram from his old Hesjedal relatives on Norwegian TV. Ryder's eyes got teary, was nice to see.