As A Vietnamese American, I can say say that there are a few Vietnamese names that are great in the Vietnamese language but that may cause your kid's day at school to be a fighting day. Examples: Phuc, Phuoc, Dung, Hung, Bich. Other Vietnamese names may be a challenge for others to pronounce including the ubiquitous Nguyen, which my father turned into my middle name for that reason - it is both hard to pronounce AND ubiquitous.
At the end, as overseas Vietnamese, we have three choices:
stick it out. I never dropped my first name despite pressure from my father and the only aliases I will accept are whatever barrack names are used to refer to those make unpopular decisions :) In some places, as a school kid, my name was an open invitation to a fight. Not everyone likes Vietnamese, and some will target you just because that's what you are. Maria, Sean, Megan, Omar are names that became American names because their owners stuck it out. The names are not controversial but at one time, they made their owners into a target because of their ethnicity.
use an alias. However, the alias has no legal weight and you will have to constantly explain yourself in any venue where you have to produce a legal document. You can choose a Vietnamese name that's easier to pronounce or go all the way and use an indigenous name for an alias. Whatever you do, stay away from say "Billy the Kid" or "Baby Face Nelson" :)
Legally add or substitute an indigenous name to your name. Just don't pick an indigenous first name that gets you into the same hot water with the natives e.g. Satan or Lucifer :) I'll note that "Adolf Hitler" was a somewhat common name in Germany until after World War II, when the German authorities allowed the bearers of this name to change it for obvious reasons.
While I use "Vietnamese" in my answer, I am conscious that other Asians, Africans and quite a few Europeans share our predicament. I have a couple of native-born American friends whose parents - shall we say, were American originals, and stuck their offspring with first names that were way out of the mainstream. One of these off-springs is a close friend of mine and every day at school was a fighting day, even though his family had been settled in the United States for five generations :)
Your name is a very important piece of your identity and in my case, it is the essence of who I am. No decision involving your name should be made lightly, because you and your descendants may be stuck with it for the rest of your natural lives.