This is really interesting. The Finnish and Icelandic names are pronounced the same way, so that's a very relevant comparison I lean towards "Ю" simply because it's one of the coolest looking cyrillic letters.
On the other hand "Йо" being perhaps more common and recognisable.

I did a Russian for a while in school (but learnt hardly anything) and the teacher (an Estonian) said it was necessary to "russify" names of the pupils where at all possible, so my name was "Ivana" as Ramil's post said.

So all is resolved apart from the first letter(s) which seems to be a matter of style, nothing completely right or wrong.

A Swedish person who lives in Russia is warning on her blog that non-Russians moving there should decide on the translitteration of their names before moving, because if they decide they want to change it, it's very problematic. She explained how some people end up in awkward situations because their name was translitterated incorrectly by an official or by themselves.