That may be because his name is the English Diana you are thinking of.
The choice was intentional as I imagine Dai's Coven operates under a matriarchal hierarchy. A feminine name seemed fitting given this background, so I selected that of Diana, Roman goddess of the hunt, the moon, and forests. The name itself most closely means; divine, where as Dai (a Welsh, predominantly masculine, name) can mean; Beloved or Friend.

Originally I had considered making him non-binary, and the idea of a two-pronged name branched from there.

Additionally, Fenn is a Middle-English surname for those whom lived in or near the Marshlands. This is just a nod toward his coming from a lesser bloodline, although the two things aren't necessarily related.