I like it. I've only really heard it used for musicians (
Nellie McKay,
Nelly Furtado, the rapper
Nelly), so it makes me think of music, and my dad's great aunt (though I think her real name was actually
Della Irene), who I've heard talked of fondly...and I have a distant memory of reading about
Nellie Bly.
I don't think I'd use it as a stand alone FN, mainly because *lie names are nms, but I wouldn't mind using it as a MN or NN.