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I don't like either neame much. Delaney(spelled like this) is surnamey but cute enough, Delani just looks made up. Denali reminds me of the oversized SUV.
Aside from my feelings about the names themselves, when you put them together as siblings it's overly confusing and too cutesie. Make them twins and it's down right awful, imo. Twins may share a birthday, but they don't need to share all the letters in their name!