There's already a thread on pronunciations. It's at the top of the page.

Anyhow, Xenia is said as (according to the other thread)
- Ksenya
- Zenya
- Zina
- or K-syen-yah
I used to say it as X-ee-knee-a. I don't think that's right though. Gathering from what's stated above, I'd say it's something like K-syen-yah or Z-syen-yah. And that's probably closer to KSEN-ya.

I could be wrong.