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I think you are right!
I've never heard/seen Lenja being used as a diminutive of Elena. Elena (Елена) is always Lena (Лена).
Of course, there are lots of nicknames for Elena¹, but it's never Lenja/Lenya.

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¹ (Alyona (Алёна), nowadays it's used as a stand alone name. Also, Lena (Лена), Lenusha (Ленуша), Lenusya (Ленуся), Lesya (Леся), Lyolya (Лёля), Lusya (Люся), Lelya (Леля), etc.