I've encountered
Margo more than I have
Margot, so I doubt that people will think that
Margo is made up. It's a widely accepted spelling.
I don't think that you need to be French to use
Margot. I've encountered people who weren't French named
Margot and didn't think anything of it. I don't think that
Margot seems pretentious, but if you'd rather avoid pronunciation issues, go with
Margo. It'll make things easier in the States. I'm sure that there are quite a few people who are at least familiar with
Margot, so even if you used
Margot, I don't think that it would be all that problematic.