There's no list of what are and aren't Orthodox first names, at least not in the Canons of the Church. However it is a long-standing tradition in most Orthodox Churches to give children Christian first names.
Christian names include names found in Holy Scripture, names of any saints (including the Western saints canonized before the Great Schism in 1054), feminine forms of names of male saints (Daniel - Danielle, Mark - Marcia, John - Joan or Joanne) and vice-versa (Mary-Marion), names which, in translation, mean the same as Christian names (Eugene and Kevin mean 'well born,' Deborah and Melissa mean 'bee'), and foreign language forms of saints names (John, Jovan, Ivan, Johann, Johannes, Hovhannes, Ioannis, Giovanni, Gian, Gianni, Jean, Juan, Ian, Iaian, Sean, Shawn, Shane, Hans, Ioann, Jan, Evan, Eoin, etc.). There are saints whose names are numbers one through nine so you can name children after them. This isn't one of our customs so it may seem odd to us, but it was common in antiquity, and is common in other parts of the world today. Names derived from feasts of the Church are permitted: Concepcion from Conception of the Virgin, Nancy from Annunciation, Noel or Noelle from Christmas, Stavros from the Cross, Pascal and Anastasia from Pascha.... Names of angels are commonly used. Children are also named after the Christian virtues: Faith, Hope, Love, and Sophia are also names of saints.
You can also give your child a non-Christian name as long as you also use a Christian 'baptismal' name (this name is used when the child comes to any sacraments of the Church): then when your child becomes a saint, a new name can be added to the lists of saints. By the way, if someone is received into the Church who has already been baptized, it is not proper to give them a new name. An additional name may be given, if desired.
Someone asked us, 'Is it possible to name a child Jesus?' It isn't a Russian tradition to name a child Jesus, but Jesus is a form of the name Joshua, so even Orthodox families can name their children after Our Lord. Other names honoring our Lord are: Sotirios (savior), Emmanuel (God with us) and Christos (Anointed). [And from Christos - Christian.] Jesus is a common name in Hispanic families.
Old-time Russian priests in America had a system for naming children when parents insisted on using non-Christian names: they took the initial of the proposed name and chose a Christian name with the same initial.
An interesting exception to this is that Serbians give non-Christian names to children but they have a patron saint for the entire family.
It's not proper to name children with diminutives of names. Instead of Sasha or Sandy or Greg, you must use full names: Alexander, Alexandra and Gregory. Of course you're free to call your child by a nickname, but when the Sacraments are administered, the full baptismal name must be given.
See: Wondrous is God in His Saints published in 1985, by Saint Anthony the Great Orthodox Publications, Alamagordo, New Mexico.
Mary Hallick, The Book of Saints, 1984, Light & Life Publishing Co. E. G. Withycombe, The Concise Dictionary of English Christian Names, Omega Books, 1988.
The response to this question was discussed with Father Vladimir Borichevsky in the summer of 1989. May his memory be eternal!
Post Scriptum: see also: Adamcio, Matushka Melania, Orthodox Baptismal Names, St Ignatius of Antioch Press, 1994.
I also recommend the St Hilarion Calendar - a major step in the right direction!
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