Kind of related, but I knew an ethnicity Polish person from Argentina. They had a Spanish first name and a Polish last name.
As others noted, it is pretty common for Asians to take on a Anglo first name to go with their traditional last name, and this seems to be something that happens to immigrants to Latino countries as well. You can do you, but I don't think people would blink at changing your first name. However, people seem to get touchier about the last name.