I think it's personally too nicknamey to work as a first name. Even Dave nn Davey would be slightly better.
Davin/Devin/Devon (Davey could work as a nickname dependent on how you say them)
Davinci (a bit pretentious, mind you)
There's probably more names out there that Davey could work as a nickname for, and I don't think of Davy Jones at all.