To clarify: the LYO does NOT sound like the LE in LEARN. It sounds like how it's spelled. Pronounce YO as if you were a New Yorker saying New YOrk; the vowel [o] is actually more like the [ɔ] vowel sound.
The correct Russian pronunciation (and spelling) is Alyosha (the LYO sounds like the LE in LEARN). You will not find any Alyushas in Russia. [noted -ed]