I was writing a text when I came to say 'a union', then it struck me that I need to change the 'a' to 'an'. But for some reason, 'an union' didn't sound right.
Why doesn't it work? Is it because its a mass noun, instead of a regular noun?
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The simplest way to explain this is to recognize that there are exceptions to every English rule, and that this is just... one of those.
The reason is that, as others have stated, the actual pronunciation of the initial syllable is 'yun,' which begins with 'y,' which in this case, is a consonant sound, as in 'you' (as opposed to ai / ee, its vowel sounds). The actual rule to remember is that it isn't the letter itself that matters - it's the pronunciation.
If the correct pronunciation of the word begins with a consonant sound, it should be preceded by 'a' instead of 'an.'
I'm struggling to find another example of this besides the 'y' / 'u' sound. I'm sure one exists - English is FULL of complicated loopholes like this.
The general rule is as you pointed out, but there are certain words that have a non-vowel sounding start, or can behave differently depending on context.
There's the overall, commonly accepted pronunciation of words, so union goes with an a. You could've thought it didn't sound right, because it's too close to onion or somesuch. Depends on context - see the wiki article on mass nouns: A bit removed from the actual issue, still retains a bit of connection to it, though.
Consonant starts usually get an a article, an vowels usually get an as a article, sounding is a good rule of thumb. Then you have unions, and such.