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Ah, beauty is in the eye and ear of the beholder. What I would personally consider "beautiful" is a name with an etymology that features interesting and concepts and symbolism. Of the names you mention, I have only seen Terpsichore in use today. It might sound as quite a mouthful, but it encompasses interesting concepts (terpsis = pleasure and Choros = dance or chorus). I actually have an aunt Terspi :) Of course I cannot imagine anybody naming their kids names such as Elephantine and Hermaphroditos -- unless they are sadists or wacky eccentric Greek versions of Frank Zappa, who named his kids Dweezol and Moon Unit. Here are some orthodox saints with "pagan" names, and their respective name days:
Xenophon, Jan.26
Hermes, March 8
Lydia, March 27
Pericles, April 10
Socrates, April 19
Achilles, April 24
Jason, April 29
Isidoros, May 14
Apollo, June 6
Alexander, August 8
Aristeidis, September 14
Zenon, September 24
Socrates, Ocrober 21
Nestor, October 27
Orestes, November 10
Plato, November 18

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As far a a Greek name meaning happiness born by a Saint, we have Eutychios (celebrated on April 8) and its female version Eutychia. The name literally means "good luck" although its metaphorically is synomymous to happiness :) Another case is Charikleia (which is usually shortened to Chara (happiness) celebrated on September 1. But the ultimate name you are looking for is Charalampos (he who shines "lampein" from happiness "chara") who is celebrated on February 10.

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