Stories are told in Scotland about St Oran /Odhran (male). He was born in Ireland, became monk on Iona, and volunteered to be a human sacrifice, so that St Columba's church would survive. en.wikipedia.org/wiki/Odran_of_Iona
I know lots of Orlas in their teens & twenties, but haven't heard it on a baby recently. I'm not aware of any teasing associated with the Orla in Ireland as it's such a normal name. Maybe you might get some teasing in the UK where it's more unusual. I don't see it as a boring or rough name at all, but it is probably a bit dated.
I like the spelling Orlaith, but outside Ireland it would cause confusion with spelling and pronunciation. No teasing due to the spelling, though.
Nina Rose is fine, I can't think of any issues with it and it's not over-used.
I live in Scotland and notice that every baby girl born recently seems to be called Orla (or Niamh) so I think it will be common enough by the time she gets to school to not warrant any special teasing. Don't go for the Orlaith spelling, it will lead to a lifetime of her having to explain her name to people and if she isn't Irish it would just seem a bit odd.
Oran is definitely a boys name.
Nina is nice and will be a bit more unique (in a good way). Penny and Willow are both lovely.
I grew up in Ireland with about a million Orlas, in various schools, and I can honestly say that I have never heard anyone make an 'oral' joke. Is it an English thing to consider baby names in terms of unlikely sexual anagrams or allusions? Because I'm baffled by the frequency with which it comes up on these threads.
OP, Orla/Orlaith Rose is lovely. (You know they are pronounced the same, right?) Nina lovely too. Oran is a boy's name, and I'm not keen personally on Penelope or Willow with your surname. Penelope Addy in particular sounds slightly wobbly...?