W'ON, a good question. In "double entendre" the whole phrase, that is both words, is French and is usually, in my experience, pronounced as such - (dooblah not dubble). I can't see any real denigration in the phrase, so I can't see why we English would try to poke fun at the French with it - if we could we would, I assure you! But you are right, the word "entendre" is not used alone in English. Borrowing of phrases and words from other languages seems to follow no logic.
The phrase "single entendre" is used sometimes to denote a more obvious sexual connotation.

Rod