I worked with an English Olga who was named after a Russian Olympic gymnast, so it's been used in England before with no problems. :) I like it. I'd put it with something less Russian as a middle name - OlgaMatilda, maybe, or OlgaCaroline.
It's definitely usable in an English-speaking country. I can't speak for England, because I don't live there and I've never been there, but I think it would work in the USA.OlgaNatalia OlgaKaterina