What does ē̆heu mean in Latin?

ē̆heu, a interjection, means “expression of pain; alas!”.

How do you pronounce ē̆heu?

In classical Latin, [ˈeː.(ɦ)ɛu̯]; in ecclesiastical (church) Latin, [ˈɛː.eu̯].

expression of pain; alas!
I can just hear you call your Palace class: / Come learn the Latin Eheu for alas.[1942, Robert Frost, “The Lesson for Today”, in A Witness Tree (in English):
Quem procul ex algā maestīs Mīnōis ocellīs saxea ut effigiēs bacchantis prōspicit, ēheu,Whom the Minoan one far off from the seaweed with sorrowful little eyes, She stony as a statue of Bacchus, looks forth, alas, She looks forth and rages with great waves of cares,c. 84 BCE – 54 BCE, Catullus, 64

ēheu, interj., an interjection of pain or grief,

I. ah! alas! Plaut. Capt. 1, 2, 49; 5, 3, 18; id. Trin. 2, 4, 102; id. Mil. 4, 8, 32 al.; Ter. Heaut. 1, 1, 31; id. Hec. 1, 1, 17; id. Phorm. 1, 4, 10.—Often followed by quam: eheu, quam ego nunc totus displiceo mihi, Ter. Heaut. 5, 4, 20; Hor. S. 1, 3, 66. (The epic and lyric poets have everywhere ēheu; and hence many moderns, partly in accordance with better MSS., read everywhere heu heu; cf. Burmann, Voss, Wagner, and Ribbeck, Verg. E. 2, 58; also Forbig. ad loc.; Hand Turs. 2, 358 sq.; Sillig Cat. p. 283; Huschk. Tib. II. p. 711; Fea and Keller, Hor. C. 1, 15, 9; but in ib. 1, 35, 33, and 2, 14, 1 al. the best editions have ēheu.)

Expressive; compare heu (“alas!”), and Sanskrit अहो (aho). Because of the latter comparison a Proto-Indo-European origin was traditionally assumed.