The regular use of this name in Latin
America goes back to a telenovela character named
Yesenia who was invented by the Mexican author
Yolanda Vargas Dulche. No one knows why she chose the name for the character, though the most common idea is that she got it from the name of a South American palm tree, as this site says.
Yesenia was used on rare occasions in the early 20th century in Russia as a feminine form of Yesenin. Yesenin is a Russian surname which was used as a male given name in honor of the poet
Sergey Yesenin:
http://www.geocities.com/sulawesiprince/russpoets/yeseninbio.html
There's an outside chance that
Yolanda Vargas Dulche found this rare Russian name somewhere and used it for the gypsy heroine of her story, though the palm tree idea is just as likely.