I haven't looked at the other comments, so this might be a regional thing, but living in the Midwestern U.S. I've only ever heard this pronounced with a long O (like Sofia): SOHN-yuh. Sonya and Sonja are pronounced the same way, though Sonia is the most common spelling.
I actually prefer Sonia to the far more popular Sofia / Sophia. It helps that I went to school with a Sonia and heard the name said daily.
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