From the experts:
Novelist Djuna Barnes introduced this interesting and unusual name with an arty, Bohemian feel to the mix. She explained that it was invented by her father, saying it came about as a combination of her infant brother's pronunciation of the word moon as 'nuna' and a character in a book her father was reading, Prince Djalma, and so he "put the Dj onto the 'una'." Result: the silent-D pronunciation (as in Django) of JOON-a.
Fellow writer Anais Nin adopted the name for a character in her 1950 novel The Four Chambered Heart, and Woody Allen had a young girl called Djuna in his 1996 film Everyone Says I Love You--nicknamed DJ.
All in an, an exotic and intriguing possibility.