Quote Originally Posted by kalinka_vinnie
Maybe I am biased because Ola is a male Norwegian name and is pronounces Ooh-La.

I challenge you to find an "Ola" in a foregin country that was transliterated from Оля.

Keep in mind that English speakers do pronounce a word "Hola" (even though it isn't english), and if you are happy with that pronounciation, then you are fine, but I am certain it is not even close to Оля!
I agree. You say there is no "y" sound in Оля. Unless I am completely mistaken (which is very possible, since I'm so new at Russian), the я letter makes a "ya" sound. Even when unstressed, it becomes simply "a". But I sometimes hear a little bit of a y or i sound in there. However, as Kalinka said, "Ola" in English would be "Oh-La". Just like the spanish "Hola".

If I could hear your name spoken, I would expect to hear not "Oh-La", but something more like "Oh-lya". Maybe it's not a clear y sound, but there is something between the L and A. Serbian has a letter "Љ", transliterated "lj" or "ly". Perhaps this is somewhere between "Ola" and "Olya". Would you agree or disagree? So I submit: Оля -> Oљa -> Olja?

I'm not trying to argue. I think it's very important to pronounce (and spell) a person's name the way they prefer. If you want us to spell it "Qwerty" and pronounce it like "Rufus Von Weisenheimer", then I will be happy to do that.