I've always loved Odette! I've never much been into ballet but I know it's in Swan Lake and it's such a gorgeous name, imo. :) I'm also quite obsessed with Coppelia at the moment--I'm in the midst of learning a piece from the ballet (so hauntingly beautiful, btw!) and Coppelia (the name of the ballet, also the name of a "character") just embodies the feeling of that piece, and its beauty. I would love to meet a Coppelia!
Other names that strike me as little ballerinas:
Katherina/Catherina/Katarina/Katerina (however you want to spell it!)
(Was she ballet? Not sure. But I think of her when I think dancer names. That and Anna Pavlova, but that was already said.)
Seraphina, Amelie, and Sophie are great too!