I just remembered this name from French 101 last spring (it's a female name that was used in one of our workbooks). I started a topic about it in the Opinions lounge as well and got this response from Mrs. Claire:
"Mylène (mee-len) is indeed a French name. It could be a contraction of Marie-Hélène (see Marie & Helene)."
This is her best guess and about as much as I know.