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Dionysia is, indeed, the female version of Dionysos, God of wine. The eymology of Dionysos is "Dios-Nysos". The first part, "Dios" means "of Zeus/Deus". The second part "Nysos" is a bit unclear, and several hypotheses have been expounded. The most plausible is related to "Nysa" or "Nyssa", the name of nymphs that are said to have nursed the young Dionysos.
You have quite a name, dont even think about shortening it to Denise :)