It must feel difficult for you, but I agree you shouldn’t say anything. Would it help to reframe it in your mind?
Io (and imagine it also in the Greek lettering, Ιω, ΙΩ in capitals) did so much more than be raped by Zeus. She endured and came through many hardships; the violet flower was created in her honour by the Earth, and (according to that myth) named after her; she was the ancestor of a great many heroes; she has given her name to the Bosphorus and the Ionian Sea. She has been linked with Egyptian deities and with the moon, and widely revered (our moon, long before she was a moon of Jupiter). It is a name rich in history and worthy of respect, yet without the hubris associated with naming children directly after deities. Your daughter would have had all this in mind.
Also, in modern Greek culture, it’s not uncommon to give children names like this, in full knowledge of the often brutal mythological background (Philomela springs to mind as an example.)
As for having to spell/correct pronunciation – it’s annoying, but many have this issue and is something people just get on with. It can happen with so many names
As for bullying – I think it’s less likely than you might think. In schools these days there is such a wealth of names from different heritages - especially in an international school.
congratulations on the imminent arrival!
edited to add: in my opinion I still don’t think you should say anything, but it just occurred to me that Ione (Ιóνη), pronounced “eye-OH-nee” is the name meaning Violet (not actually linked etymologically to Io, but thought to be hence the myth) and it could be shortened to Io. You might have heard of the political correspondent Ione Wells. I think it’s a pretty name.