Ethnic sounding names

[isoldereverie.livejournal.com]

If you have an ethnic last name does that mean there are some first names you shouldn't use? I think some ethnic sounding first names clash terribly with certain last names. For some reason Paul Nguyen doesn't bother me yet Conner Sanchez sounds really odd and out of place to me. I saw a little girl that had a Japanese first name and what I thought to be a Greek last name and that seemed clunky to me as well. 

Do you guys think your last name's origin somewhat determines your list of possible first names? What are some other combinations you have heard that were okay or seemed weird?