I thought that was pronounced “Kayen”, almost like “Cayenne”.
Wikipedia gives it as [kɑ̃], as if it were spelled kan or ken. You know, almost rhyming with non, the French word for no. I guess it makes sense, since there is no second N, and both <en> and <an> make the same sound.
While I’m normally not for using an accent to say foreign words in English, I make an exception for a few sounds, and nasalized vowels are one of them. I guess you could also say something that sounded like “kong,” but it still sounds silly. I cannot see pronouncing the <n> as an actual [n], nor treating the vowel like a diphthong.
Anyone going to try Reims? 
Caen is a tricky one. (Also, if you pronounce it wrong, it can sound like con, which is slightly rude.) I’d pronounce it by starting to say “call” but cutting the vowel off very short and then nasalising it.
As for Rheims… in English we give up altogether and say “reems”. In French, the closest I can get is that it rhymes with vin (in French) but you pronounce the final “s”, softly.