I would say Lee-o but I would be unsure and I wouldn't be surprised at all if people went with Lie-o.
Are you in an English speaking country? If so it might be easier to correct your family's pronunciation than (potentially) everyone else that you meet.
I would pronounce it Lee-o.. Never crossed my mind to pronounce it Lie-o.. But since others clearly did maybe just spell it Leo.. You should only have to correct your family once..
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