You list "Zhenya" as being the pet form of the Russian name Yevgeniya (the Russian form of Eugenia), but like Sasha and Shura it's a unisex nickname that's also used for Yevgeniy. [noted -ed]
My name is Zhenya and its not only a female name... In fact, most Zhenyas that I know are guys. It is a very popular Russian name for both females and males.