I think it's neat that you found 2 lovely names that are so similar to each other. That said, I am not personally fond of very similar names for twins. I think the link of their sharing the womb is enough--sharing name elements goes across the line. That's just my opinion, though. Anyhow, I would look out for the imbalance in the meanings of the names. Denali is a mystical word, the name of a famous mountain, while Delani seems more like a trendy invention, a concoction of the -lani names and the popular girls' last-name-as-a-first-name
Delaney (correct me if I'm wrong on this). I feel like Delani might feel a little shorted.