According to a book about Princess Alice little May was christened Maria (Marie) Victoria Feodore Leopoldine on 11th July 1874 at Heiligenberg in Jugenheim in attendance of Tsarina Maria Alexandrovna as well as her daughter Maria Alexandrovna, Duchess of Edinburgh and her son-in-law, Alfred Duke of Edinburgh.
I do not find a hint after whom of the two ladies May was christened Maria or Marie (the Protestant version of the name), probably for both. Regarding to a letter Princess Alice wrote to her mother Queen Victoria dated 13th of July 1874 I conclud it was Maria Alexandrovna Duchess of Edinburgh who held the baby during the christening and was her godmother.
Alice wrote: "Marie, ganz in Rosa, hielt ihr Pathchen, ..." (translation: "Marie, complete in pink, hold her godchild ..."; "Pathchen" is a diminutive of "Patenkind", english "godchild").
Had it been the tsarina she would have written different. In other letters to her mother she called her either Aunt Marie (she was the aunt of her husband) or in the earlier letters the Empress of Russia.
Both german names, "Maria" and "Marie" have the same origin: the Holy Virgin, Maria, the mother of Jesus. Mostly the name "Maria" is given in Catholic families while "Marie" is more used in Protestant families. The English version of that name is "Mary" and "May" is an abbriviation. But "May" is also given as a name or nickname to girls born in the month of May.
Little May was born 24th May 1874, the same date as her maternal grandmother, Queen Victoria, who was a godmother of little May, too. She was not present at the christing of May but was represented by Princess Elisabeth, the mother of Ludwig IV.
She was close to her sister Alix, only two years elder. They shared the nursery and were dressed alike, so it was different to tell them apart.
Alice wrote about May that she ressembled her late brother Frittie. In another letter she found that she looked more like her sister Victoria at the same age only with light hair. Often she wrote to her mother that May and Alicky were a nice pair and that both were her sunshines.
Her brother Ernest-Ludwig (Ernie) was very fond of his little sister.
Doing my research I also came across the date of death of little May and was little shocked for she died 16th November 1878, the same date of death as her niece, little Elizabeth of Hesse (1903). The same date in 1937, the plane-crash at Ostende took place and Eleonore, Georg-Donatus, Cecile and their sons Ludwig and Alexander died.