In original Greek, the Ph sound was an aspirated P, not an F. The closest approximate in modern English would be the "p-p-p-p-poker" in the song Poker Face.The AE diphthong is pronounced AY as in eye.Thus, to be perfectly historically correct, Phaenna would be Pie-nah.However, names change with movement into other languages, for example, Pear-iss, not Pah-ree, in English (Paris). Therefore, Phaenna could legitimately and with historical precedent be pronounced variously, Fee-nah, Peh-nah, Fay-na, or Fie-na, and no one could really correct you.
No one has commented on this name? :(Well, this name was recommended to me by someone on the boards because of my love of Phaedra. I have to say that Phaenna, although it looks kind of funny, is quite pretty!