I like Jessie as a first name (even though I am a Kathryn lol) I do think the royal thing would get mentioned and be a bit annoying being William and Katherine (because they are starting to refer to her as Katherine now, not Kate)

I think Jessica Katherine sounds ok, but not Jessie Katherine (you could still have her name be Jessica and just call her Jessie though)

I actually like Jessie Jane.. but sounds a bit like Jessie James