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wouldn't really bother me, as long as they're both names you really like, and would use them for non-twin sibs too. If you choose two names with the same letter just cos you want them to sound 'twinny,' then I don't really like the idea.
But I would give them different middle initials. It's much less confusing (especially at school, when you sometimes have to put your initials on the back of your work rather than your whole name) to have twins whose initials are AJN and AMN than AJN and AJN.