I'm a Sacha and when I married my last name turned into one starting with Sh and ending in y.
It was a little strange at first, but to be honest, it's like everything - when you hear it all the time you just get used to it.
If you love the name (and why wouldn't you? ) go for it. Or if it just doesn't sit right with you, what about a hyphenated first name - Sacha-Lee etc.?