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The English spelling of the French port city at the estuary of the River Rhone into the Mediterranean is Marseilles, with a final '-s'. Do not confuse it with its derivative, the Marseillaise.

There is a strong preference for pronouncing it more or less in the French way, roughly 'mar-SAY, IPA: /mɑːr 'seɪ/. Until the middle of the twentieth century, the preferred pronunciation in formal English was with the '-l-' sounded, 'mar-SAYLZ' /mɑːr 'seɪlz/ (OED). This is now felt to be uneducated, and should be avoided by all students.

The French themselves write it with no '-s', as Marseille, and pronounce it IPA: /mar 'sɛj/.

If you are studying French, write it the French way in your French language exercises.
Otherwise, write it in the English way.
The name, of a former Phoenician colony, is first recorded under Greek rule as Μασσαλία, transliterated in Roman times as Massalia or Massilia.