I don't think there is a definitive answer to this kind of question.
We're asking what is the correct written English version of words that originate in another language that uses a different alphabet and is rooted in a different historical and cultural background.
English itself is a hybrid language with as many exceptions as rules, and has no equivalent to the French Academy (Académie française) to determine standards, and even the French Academy is not universally accepted as an authority.
Just to cite a couple of examples of English weirdness:
1. We drive on the parkway and park in the driveway.
2. These three English words sound alike but have different meanings: to, too, two. How would you tell someone, in writing, usng correct Engish, that there are three tus in the English language? Keeping in mind that "tus" is not a real word.
On Jay's question, I personally prefer "khukuri," but that's just a personal preference. One could also ask what is the correct word for khukuri in Russian, or Chinese, or Tagalog. These questions have answers, but not definitive answers.