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I've only seen Zeta, and I'd assume it was for the trendiness of Z names rather than because it's a Greek letter specifically. And I read a novel in which a character used Delta in his diary to refer to a man he was in love with; this chap's actual name was I think never stated. A useful pseudonym, therefore, as the book was set at the time when male homosexuality was illegal in the UK. Of course, Delta could also be trendily geographical!

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I don't like English letters used as names! Even though my Beatrice daughter happily goes by Bea. Jay, Kay, Elle etc look flimsy and silly, but become less so if they are actually short forms of, say, James, Kate or Eleanor. Which is better, but still not good. And I knew a Katharine Anne who used to sign herself KT, rather than KA, because it sounded like Katie. Yuck.

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Greek letters as names ... I think you've got your own answer. The ones you cite fit comfortably enough into mainstream English naming practice. Epsilon or Omicron wouldn't. (And of course an English Diana could use Dee rather than Di, but I would never expect to meet an English Patrick calling himself Pee.)