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Leo is not a nickname, though it can be used as such.

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My grandson is called Leo, but his full name is Leonidas. My daughter wanted to use just Leo, but my then son-in-law wanted it to be a nickname. She suggested Leopold, he wanted Leonidas, and he won the day. Not that my daughter doesn't love Leonidas, she does. But she is like me----no nicknames as full names, so if she initially wanted to use just Leo, you can rest assured that it's not just a nickname, but a full name in its own right.

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I used to think that Lucy was a nickname, because it can be used as one for Lucille, but it was pointed out to me here on BtN that it is a name in its own right as well. So I've been set straight and can feel free to love Lucy as a full name.

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I think Leo works as a nickname for Leonardo, but it's too much of a stretch for Lionel. There's also Leopold and Leonidas. But really if you like Leo, there's no impediment to just using Leo, even if you are a "no nickname on the birth certificate" purist like me.