Leaving aside the 'Chelly pronounced 'Shay' thing, I think that unless it's obvious 'Chelly' is a nickname for Michelle, people are likely to pronounce it with the 'Ch' sound from the beginning of 'chop' or 'cheese', rather than 'champagne'.
For Irish people, this is what 'Shay' calls up - Shay Healey, who wrote Johnny Logan's doleful Eurovision-winning song 'What's Another Year?' at some point in the 80s. He's called after his dad, Seamus.