The pronunciation should be [vodu]; the change of [o] into [u] must be due to the strong influence of English as this word appears often in contemporary English; I think that as far as I’m concerned I’ve probably read the word more often in its English form (voodoo) in English than in its French form (vaudou) in French, the spelling of this word being really « vaudou » in French, there is no error, no other traditional spelling.

It can be found however that other spellings might be used; the following source (Wikipédia) shows that, although it warns that there is not sufficient support for the information it supplies, 3 other forms of which “voodoo” are found.

Le vaudou (ou vodou, ou vodoun, ou encore voodoo), plus rarement appelé vaudouisme, est une religion originaire de l’ancien royaume du Dahomey (Afrique de l’Ouest).

This use of the English spelling tends to be confirmed in modern use, especially in the world of commerce and ephemeral art (ref).

The dictionary l’internaut mentions nothing about these variants though, nor do Le Larousse en ligne and Word Reference.

I don’t believe the problem lies with your hearing since you do identify the sound [o] (au) in other contexts; what I believe is that you witnessed truly the effect of a shift related (without enough support) in the above source (Wikipédia).