If Mandarin is your first language, I would steer clear of names with an "l" sound, like Alan, as to many Mandarin speakers, there is no difference between that and the "r" sound.
But, do you really need a "western" name? I know British people born here, but whose ancestors were from China who have only Chinese names. (When I say ancestors, I mean their grandparents may have been Malay Chinese, for example, which would mean that the original immigration from China itself was even longer ago.)