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Welsh, in the UK, and the only one of these I've encountered on a non-foreign person is Helena (HEL en ə) - the others have had varied pronunciations, depending on where the person's from:
Alina - ah LEE nə (Romanian)
Helene - el EN (French) hel EH nə (German)
Lena - LEH nə (Polish) LEE nə (Swedish) - the first part sounds to me almost as if it has two syllables
Milena - MEE len ə (Czech)