When we adopted Little J his Russian name was Yuri. At the orphanage they called him Yura. It was very cute, and we'd planned to keep it, but when we met him it became really apparent he didn't know his name. You could call him anything in a sing-songy voice and he'd turn and look at you. So we changed it to give him my grandfather's first name (his brother has his paternal great-grandfather's first name) and we kept his Russian name as his middle name.
Yuri has kind of obvious teasing potential. The first thing that comes to my mind is "urine." Not nice. Plus, apparently the English version of Yuri is George, which is a nice name but not very common these days. Little J is very familiar with his middle name although he has a hard time saying it. He can't say his "r" sound so Yuri ends up souding like WYoowy. He knows he was named after his Russian father, too.
What was your child's name when you adopted him or her? Did you choose to keep that name or to change it? If you changed it, why? What did you change it to?
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Here's a link to other Russian baby names.