OL-guh is the only way I've heard English-speakers (specifically, people in the U.S. or Canada) pronounce it. Otherwise, I agree with you, Angrboða. It's lovely when someone says it in Russian but it sounds really bad in English.
I like almost all of the combinations, Wordsmith. Top five for me:
Olga BetonyOlga EulalieOlga Genevieve Olga Miriam Olga Swanhild