I've heard this somewhere described as the Burroughs Universal Constant (referring to Edgar Rice Burroughs, not William) that wherever you go in the universe, female names end in an -a.
It's actually a very localised phenomenon. In the Indo-Aryan languages, for instance, it's usually male names that end in -a - Krishna, Brahma, Arjuna etc., though female ones sometimes do. Even in Latin, there were quite a few male names ending in -a, such as Agrippa, Nerva, Agricola etc.
Some languages are going to distinguish masculine & feminine words & names, in a variety of ways, others aren't. Some languages use prefixes or suffixes to indicate noun-category. Others don't include any recognisable grammatic structure in the word.
Keeping it European can have the advantage of making the reader feel safely on familiar ground, but it can also make it boring, if it's overdone. Personally, I like to experiment.