As we all know, English words spelt with u that come from Latin, or from Greek via Latin, regularly have a palatal semivowel in English. Thus Latin futur-us gives us BrE ˈfjuːtʃə, AmE ˈfjuːtʃɚ, while Latin fūtĭl-is gives us BrE ˈfjuːtaɪl, AmE ˈfjuːt̬l̩. Greek μουσικ-ή mousik-ē ends up as English music, pronounced ˈmjuːzɪk.
After alveolars the j was lost, or subject to coalescence, depending on the variety of English involved, giving the familiar variability in words such as tube tjuːb ~ tuːb ~ tʃuːb. In East Anglia the yod has been lost more widely, even in words such as music, human (and of course beautiful — here’s the locus classicus). There’s some variability in weak syllables, too, as when ambulance, executive or regular are pronounced without j in certain non-standard accents.
Disregarding these categories of exceptions, though, the rule applies pretty widely, and not only to Greco-Roman borrowings, but also to other long-established ‘international’ words (butane, Cuba, pupa). In more recent loans there may be more variability. So on the one hand Rudolf Nureyev (Russian/Tatar Нуреев, Нуриев nu-) often has nj- in BrE, while the late Sir Peter Ustinov (Russian Устинов uˈstʲinəf) was happy for his name to be anglicized as ˈjuːstɪnɒf; but on the other there is variability in Lithuania, Nicaragua, jaguar and muesli. However Zulu is firmly yodless, and Japanese futon ɸɯ̥toɴ becomes English ˈfuːtɒn, never ˈfjuː-.
When it comes to acronyms (initialisms) we again see variability. When I was a student the University of London Union, ULU, was generally known as ˈjuːluː (and I think still is). We had BUNAC ˈbjuːnæk (the British Universities North America Club) to enable us to buy cheap flights to the USA, while CICCU ˈkɪkjuː (the Cambridge Inter-Collegiate Christian Union) tried to save our souls. I believe CUNY (the City University of New York) is known as ˈkjuːni. But the British medical insurance company BUPA (British United Provident Association) is ˈbuːpə, and the GUI (graphical user interface) by which you operate your computer is a ˈɡuːi.