I love it!!
I also like Cleo better than Leo on a little girl.
I will say, several years ago I answered the phone at work and spoke with a woman named Cleopatra. I actually had her repeat/spell it because I was sure I heard her wrong the first time! It was just very surprising. The name has a pretty sound to it, and Cleo/Leo, cute yes, but just be prepared for the occasional raised eyebrow.
How can Cleopatra be a one-woman name when there were several different ancient Egyptian Cleopatras?
Look how many ancient Cleopatras there were! http://en.wikipedia.org/wiki/Cleopatra_(disambiguation)
I've known a couple different girls/women by this name. I will say it's the sort of name that sounds a bit "a name for a cat" but so are Sabrina and Tabitha and I like both of those on real girls too.
For Leo I would prefer Leontine or Leona, or even Leora, but there's nothing unusable to my ear about Cleopatra.