Sure, I agree with your point. Just as well in Russian, Daenerys will sound strange (mostly because of "male" ending suffix, it would be better is she was... dunno, Daeneya), but Sansa and Arya will sound okay. Nonorthodox sure, but suitable.
Also some names from USSR times are much worse. Like, we had girls who were named Dazdraperma (short from "Hail the first of May") and believe me they sound strange and vomiting even in Russian.
Btw I would probably be okay with strange name, it beats having 4 friends named the same as you at your apartment complex, and always having 5 more people named the same in your class. So creative, much wow =)