There's a handful of Greek names that end with o that I like:
Alecto,
Sappho, Ino,
Echo,
Hero,
Leto,
Dido (technically this one is Latin, but it likely has Greek roots)
Others I like:
Lilo,
Bo (usually male in English, like
Beau, but I know a female Anglo-American
Bo),
Jo,
Marlowe, Vireo, Halo, and
Sparrow.
Unsure about Harlowe,
Snow,
Monroe and
Shiloh