i never seen names that end in "io" using "ё", but when they end in "ia" or "iu" they nearly always get translated using the soft vowels (я and ю)
for example, I've seen Fabio get translated as Фабио, but not Фабиё..
other examples..
Maria = Мария (я instead of а)
Mario = Марио (o, but not ё...)
Julia = Юлия or Юля
Julio = Юлиё or Юлё ??? (never seen this, but seen Жулио instead)
any reason for not use иё and instead use ио ?