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From a Classics perspective, it just has to be Odysseus for a boy! You could shorten it to Ody or Odie. Another girl could be Athene or Athena ~ I haven't got a nickname for them, but Athene ends in the same 'e' sound as Penelope so they go well together.
For those who haven't read Homer's Odyssey, Penelope is Odysseus' loyal wife to whom he spends the entire book trying to get home. Athene is the Goddess of wisdom, war, crafts, and cunning, who has a particular fondness for Odysseus and helps him through his struggles.