Yes, it's pronounced with a long o sound at the end, just like Margo and Margot. This spelling was popularized by supermodel, actress, and tragic Hemingway granddaughter Margaux, whose name spelling came courtesy of a bottle of French wine. (The original spelling of her name was Margot; she changed it when she heard her parents were drinking a bottle of Chateau Margaux the night she was conceived.) Margo itself is a diminutive of Margaret, which means "pearl" or, in its French version, "daisy." Margaret or Marguerite would be more stylish variations now.