It's more probable that they're from some other Slavic country apart from Russia (as you've said
Vanya is used as a male nickname in Russia).
In other countries (like Croatia, Bulgaria, Serbia, etc.)
Vanja /
Vanya is used as both a male and a female name and not as a nickname for anything (think
Molly or
Jack), but it did originate as a Russian nickname for
Ivan (likewise
Sasha is also used as a female and a male full name).
Sanya (or Sanja in most Slavic countries) is a form of
Sonja which originated as a nickname for
Sofia, but is used as a full name now (same with
Tanja).
+ Sanja has a separate meaning in south-Slavic languages (Croatian, Serbian, Slovenian...), it means 'he/she/it dreams'.
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