Here you can listen to the Finnish pronunciation of Y:http://www.sci.fi/~kajun/finns/female.htm
Choose "Kyllikki" for the short version and "Lyyli" for the long one.
In Swedish, Norwegian and Danish it's almost the same pronunciation as in Finnish.
For the German pronunciation you can listen here:http://www.ex.ac.uk/german/abinitio/pronounce/
On the left side you can choose "Sounds: j, y". In German, Y is only used in foreign words.
(In all countries mentioned above, your name would be spelled Anja!).