Gosh OP, quite a lot of unimaginative people commenting on this thread! By unimaginative, I mean people who have only ever heard of 'Lenny' as short for Leonard and can't imagine there might be another origin for this name.
I am only going to come at you with spelling.. when I see Leni written down, I get kind of a Scandi/Germanic quite interesting vibe from it that is definitely female, but weirdly by the addition of another 'n' in Lenni, it seems more try-hard and less feminine. It starts to fall into the Jimmi, Ronni, Olli, category of boys names that have taken over my current reception class.
Sorry, just the connotations that spring to my mind. Strange what one letter can do to a name!
Also Sophia wins as the second name.. less vowel sounds to contend with