I'd say be bold and go for Rhona. A wonderful, beautiful island www.isleofrona.com/index.html
Lara is a short form of Larissa/Larisa. It makes me think of Dr Zhivago. A splendid, moving, film, and Julie Christie very lovely, but ... I prefer the long form of the name. If you like that, and choose 'Lara' as a nickname, then why not? To sort of contradict myself, personally speaking, the only Lara I've ever met was really, really nice.
Iona is nice but I don't like it. I just think 'lots of tourists' - the island is not that far from where I live.
Jenna - I can't get beyond Jenna Bush. Not her fault, but her father did some pretty dreadful things.
Eden - Eden project, new age... All really, truly laudable, but ironically rather predictable.
Gosh, that all sound so negative. I don't mean to be. Many congratulations on your pregnancy!