It's fine, a bit of a mouthful yes but in all honesty people won't think about after the first 30sec of hearing it.
How actively do you think about, consider whether they're easy to say or critique anyone's surname you actually know?
The reason Katerina Johnson Thompson always sounds a bit funny / noticable is because sports commentators constantly say her full name (and both names end in 'son'). In any other circumstances she'll be introduced once and then just be Katarina after that.
Same with Jessica Ennis Hill, although I've noticed she's often referred to as Jess Ennis Hill which makes it trip off the tongue easier. So I'd say use both names but maybe go for a shorter 1-2 syllable 1st name