Most are pronounced "like they are written", i.e. using the French default usage. The ê can be pronounced either /e/ or /ɛ/.
Thêta is pronounced /tɛta/ or /teta/, phi and khi are pronounced /fi/ and /ki/.
Only zêta, epsilon and upsilon aremight be pronounced partially or totally as foreign words, z is often realized as /dz/, no"-on" is almost never the nasalisation /ɔ̃/ and u is often pronounced /œ/: /d͡zɛta/ or /zɛta/, /ɛpsilon/ & /œpsilon/ or /ypsilon/.
Lambda is generally pronounced /lãbda/ in France but the alternative /lam(b)da/ can also be heard, depending on the region.
Psi is not special but simply pronounced like the beginning of psychologue.
Note that omicron is always pronounced the French way, with a nasalisation: /omikrɔ̃/, likely because micron is already a French world.