I don't have any problem with my chosen name. However, my mother has, due to it being too "unusual". She also points out that having a name like "Freya" can draw attention. She even calls me by my chosen second name, Nora, which is essentially the feminine form of my given name, just to show how much she disapproves of my choice. Meanwhile, she doesn't even blink at her own brother, Toni, changing his name to......Tony. And he's not transgender. He went through all that paperwork and stuff, simply to change one letter.
My thoughts on the matter of unusual names? If you are going to change your name to something that fits you better, pick something awesome. Because you are awesome.