Leonora works well as Petra's sister. If I met them, I'd think they were a very pretty sibset (and probably come and post about them here!).
As much as I like Mercy, I'm not loving Leonora Mercy. Seeing the "no" in Leonora makes me think "no mercy," and Petra Magdalene and Leonora Mercy sound dour and joyless together, not a feeling I get from Petra and Leonora alone.
If you like virtue names, how about Leonora Constance, Leonora Amity, or Leonora Clemence? Other suggestions: