Fun fact, about the capitol of Montana... it was founded by manly man miners... I don't remember why they chose the name Helena, but they decided that they were going to pronounce it "Hel-in-a" because "Hel-leen-a" sounded too girly
That said, as one who grew up in the west, I would pronounce your daughter's name just like the capitol of Montana... "Hel-in-a" is how I've been raised to say that word.
Nothing wrong with that as a name, just be prepared for A LOT of people to say it wrong...
Another silly fact... I named my oldest Kellie. I liked the name, but after knowing boys in school named "Kelly" I decided that to spell it "Kellie" would make it more feminine.
EVERYONE (even Grandma) still mispells it... and she's 10!
So I named the next child "Sarah." Everyone mis-spelled Kellie, I figured I had learned my lesson... I will spell her name the traditional way... shoot, half the people (even the other Grandma) spells it "Sara"
My youngest is named Jessica. Coincidentaly, I wanted to honor my grandma Helen in her name, but I didn't have the gumption to pull it off. So I named her middle name (Catherine) the same as Grandma Helen's middle name... a more contemporary compromise. Until she was 4... Jessica didn't even know her name was "Jessica"... everyone called her "Jess" or "Jessie"... she would argue that "jessica" isn't her real name...
Just saying... prepare for EVERONE to get it wrong!