You're right, there is no umlaut. However, there is a diaeresis. This is used to indicate that a u after g is fully pronounced and is not simply an orthographic device to indicate that the g should not be pronounced like j (i.e. IPA [x]). For instance, pingüino is pronounced [piŋ'gwino], not *[piŋ'gino].

To many Spanish-speakers, English w sounds like their gu. For instance, I've seen "whisky" spelled güisqui and "water" spelled guáter.

BTW, although Standard German doesn't allow üe except in proper names, it's common enough in southern dialect orthography for the diphthong /yə/, e.g. Alemmanic Büecher [b̥yəxɐ] "books".