I think it's a problem that if you called them, putting Madalena first, you'd get something that sounds uncomfortably close to Eleonora's proper name: "Ella! Nora!" It also doesn't help that Ella isn't an intuitive nickname for Madalena, but it fits Eleonora like a glove.
So, yes, I guess I do think it would be weird. Eleonora and Madalena are cute for sisters, but I think Madalena needs a different nickname.