My thought is that when your son is six years old, and ten, and 14, and 23, and into adulthood, he will have to spell his name EVERY SINGLE TIME he says it.
How would you feel if EVERY SINGLE TIME you said your name to get on the wait list at the restaurant, or order something by phone, or applied for a job, or opened a charge account, you had to say "It's Theory, that's T H I E R R Y. Yes, T H I E. Right, I E. Then two Rs. Yeah, you got it." No, it's said 'Theory.' Yeah, I E. Yeah, I'm sure."?
That doesn't make it wrong. You can do anything you like. But you asked for thoughts, and my thought is that any name it is hard to spell in the first place (which is okay alone) is made almost impossible when the pronunciation needs to be explained.
Can you image what life is like for Leigh, whose parents decided they'd like to pronounce it Lee-aye? It makes poor Marcia, who has to explain that it's mar-cee-uh every time, seem like she's got it made in the shade in comparison.