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Isis nn Ice - Sounds silly, and I've always associated Ice as a boy's nn anyway. It sounds like the nn of some action hero. Isis is lovely on its own, and is so short that it doesn't need a nn.
Freya nn Rae - Rae sounds a bit contrived to me. I'd go with Frey, but again, I don't think Freya needs a nn.
Ophelia nn Lia or Phebe - I'd go with Lia, since Phebe is too far from Ophelia. If I liked Phebe that much, I'd use it as a full name and not a nn.
Indiana nn Indy or Anna - Definitely go with Indy. I love the spunkiness of Indy, and I think it's great that you've got Indiana picked out for a girl and not a boy.
Aurelia nn Aura, Rae, or Lia - I'd use Aura. It's definitely unusual and pretty. Rae, again, seems a bit contrived, and Lia is just a trifle plain.
Beatrixnn Bee or Trixie - Bee's cute in a jazz age kind of way. Trixie sounds a bit like a stripper's name.
Constance nn Connie - I'm with you on not liking Connie. Perhaps Constance is capable of standing on its own.
Bellona nn Bella or Ella - I think Ella is prettier than Bella, but there are so many little Ellas running around anymore that Bella might be a better bet.
Leonora nn Leona - Eh, Leona reminds me too much of Leona Helmsley. I like Lee or Nora better.

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Lucian nn Lucan - Lucian doesn't really need a nn, and I think Lucan is fine on its own. If you like Lucan that much, don't bother with it as a nn.
Orpheus nn Orfeo - Orfeo sounds a bit silly. It's more of an opera character's name than a real boy's name.
Phoenix nn Nyx - Ooh, I like this! It's short and snappy. I wonder how many parents have thought of it?
Cyrus nn Cy - It's okay, kinda blah. It's like a parent with a son named David calling him Dave.
Jasper nn Jazz - Interesting, but I've always liked names that have the "jazz" sound in them.
Romano nn Roma - Sorry, Roma is a girl's name in my mind. Why not Rome? It's the name of a fascinating historical city.