I don't know any Wendys or Helens, so they're not a common name at all. In Western cultures, people like it when they share a name in common with someone else, but I understand Chinese people don't like this. Therefore, you can use your own name, or a nickname that your friends call you, and you won't run into that problem.
If you want to do an English name, Xiaoyi to me (if I'm pronouncing it correctly in my head) sounds closest to the name "Shirley", so you could also use that. And trust me, that name is also very rare.
P.S. Where are you headed to, America or another English-speaking country?