As a general rule, an acronym isn't read (except by those bored with all that reading stuff) as anything other than what the letters stand for. Certainly it has become standard practice to read "ar-pee-gee" for RPG (or "tee-vee" for the common acronym for television) but, in truth, it should be read as "role playing game". An acronym is not a word, it is a convenience, a short-hand method of conveying a group of words that have a common, and commonly agreed, meaning.
If we wanted to be really pedantic about it, and absolutely grammatically correct, it would be written R.P.G. instead of RPG.
If you want a good example, consider the common abbreviation "Mr." - this is generally and widely accepted to stand for "Mister" (just as M. in French stands for Monsieur). But it's never pronounced "mer" or "murr" or even "em-ar" - it's always pronounced "mister". An acronym - which is an abbreviation formed by the initial letters of a multi-word phrase - is formally no different - in gramatically correct speech each word, rather than the phonetic value of each letter, is given.
It maybe that English is undergoing one of those sea-weather changes (such as it did in the mid-1500's where thee, and thou were formally replaced by the more common "you" - amongst a great many other changes) where the pronunciation rules change and it becomes formally accepted to give the phonetic value of each letter of the acronym. However, until such time as rules codifying that are formally accepted, "a RPG" is gramatically correct (reading it as "a role playing game") whereas "an RPG" (reading it as "an ar-pee-gee") is not.
