I just say Hel-ena, I've always pronounced it how Kasumi and Christie say it in Dimensions, plus Marie Rose too xD
I say it both ways... because why not ? See you gotta hedge your bets. That way you're only wrong 50% of the time.
I know mine is wrong but I like to call her Huh-ley-nah. Always had. Always will. Just like that whole ffx Tie-dus , Teedus. Haha.