Cleo looks nicknamey to me. Perhaps the magazine doesn't help, but it's done
Elle and
Marie Claire no harm!
Cleopatra might be a bit ambitious? But what about Cleone? Pronounced clee-OH-nee, it shortens obligingly to
Cleo but has a different vibe. (I know one here in SA, and another one is/was a radio DJ on an adult-pop/rock station.)