I like this name. I'm going to name one of my future baby girls this. Except I'll probably spell it differently because I can never remember how to spell it properly.
Personally I think that calling your child the name of a nationality spelt incorrectly is disrespectful to that people. The Native American tribe is called Cheyenne, not Cheyanne. The -anne ending might make it look like a feminine name, but if anyone starting spelling the name of my own country, Ireland, "Irelyn", I wouldn't be too amused.