My favorite online dictionary is usually spot on. It has two pronunciations. The only way I've heard it pronounced is the first pronunciation - kuh-LAHY-uh-pee. The second is KAL-ee-ohp which I don't think I ever heard until a minute ago in that digital voice.
tecnically, both are correct depending on context. If you're talking about the instrument, it's a Cal-i-Ope-EE. When discussing the muse of epic poetry, it's cal-EE-ope-Ay