Delilah is delightful, but Delilah Adelaide is a mouthful of l's and ah's, and Delilah Leona has too much li-lah-lee for my taste. Ditto Lola and Lila and Zola.
Millie as a nn for Matilda and Lulu for Tallulah, yes. On their own? No.
Since your middles are the only part of the name that's non-negotiable, start there. These are the firsts on your list that work best with Leona or Adelaide:
From these, my top 3 for you would be Penelope Adelaide, Ruby Adelaide, and Violet Leona.