Chan and Chiang Mai vs ‘Shan’ and ‘Shiang Mai’

My Thai is fairly basic but quite a few years ago, I’d heard thai people say the words ‘I’ (chan, ฉัน) and ‘Chiang Mai’ (เชียงใหม่) with a much softer sound, almost like an ‘sh’ rather than a ‘ch’. I thought I’d give it a go and so dropped ‘Shan Mai’ into the conversation with the thais I was with and got quite fiercely told not to do that. I didn’t ask why I should’t do this and as it’s always bugged me, I thought I’d ask on this forum. Is it something only thai people can do?!