The vowel barely makes a difference to my Polish ears. It's the "sha". Most English speakers don't palatalise it enough. "Sha" isn't very far off from Polish but it just gives the name a completely different vibe to me, from sweet and cutesy it becomes harsh and unapproachable. As far as I can tell, in Russian it's a palatalised "s" which I think would be even more noticeable of a difference, which would explain why a Russian person would find the English pronunciation especially strange.
I think pronouncing Zosia (Зося) as Zo-see-a would follow the pattern of Nadia (Надя) so I think it should be no more confusing than Zo-sha.
Which just made me wonder... can someone tell me how many syllables there are in Katya in English? I'd always thought the spelling suggested two but it's analogous to Nadia in Russian and Nadia did get the additional split �
https://www.behindthename.com/pnl/109883