I think Rhiannon is lovely - spelled this way, and only this way. Rhianna seems less substantial to me (and also is very reminiscent of Rihanna, even though that's a separate name entirely), and Riannon just looks wrong.
One of the main reasons I enjoy Rhiannon is the Fleetwood Mac song:
https://www.youtube.com/watch?v=wgmRb3MlpHQ
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