I love this name. Yes, it's a city in Italy, and some people don't like names based on cities, but if you think about it, many of the names we think of as "common" are based on places. Brittany, Dale, Glen, Jordan, Kent, Lorraine, Lourdes, Fatima, Savannah, Sydney, etc. Recently Brooklyn has become quite popular, and Cairo is rising, too. In times past, names were primarily based on places and professions, so what's the big deal?
Siena is not a given name here. It has been used rarely these years but it is not well-known at all. I hope that some city names (Siena among these) will become officially seen as given names because of their historical and cultural role in Italy.
Sienna isn't that bad, though I don't care for it. Siena, however, sounds ridiculous. It's yet another Italian city name, which is silly because no one in Italy is named Siena.