Still in stubborn mode Personally, I think that it'd make sense if characters based on japanese folklore have japanese names and those that might be foreigners have foreign ones. The settings should be more reliable than the names if it's about finding their origins, so, for example, Yuyuko cannot be an African as there are neither sakura trees nor any poet named Saigiyou there : Question ! where can you find those ? Well ?! Correct ! in Japan ! (if you thought otherwise, you done goofed) ... anyway, chara settings > chara name. This does NOT mean names are irrelevant, just that names are not indicative of their origins (not in a general sense)
In the case of characters with suspicious names and origins like Letty for example... Since Letty lacks proper backstory, settings or whatever, she can be pretty much anything. English name ? ---> Maybe she got married to some english guy before ? Or was Jack Frost a cross dresser and was in fact "Jackie" Frost (wild speculations on color scheme begins !) ? Or did she stumble upon some english book, thought english was cool and named herself Letty Whiterock ? Or just be boring, blunt and say she is a yuki onna so she is japanese ? Anything goes, but just pointing out that Touhou is first and foremost Japanese, not some all-nation folklore showcase, hey.
You can associate the name with a country, not the named. Otherwise, we'll have a German bird girl who grills lamprey eel... in a goddamn Japanese stall, which is not "quite" the most German-like thing ever... getting a foreign country inspired named does not mean you have such foreign country's nationality.
Anyway, touhou 6's theme is the one that matches "West X East" the most compared to the rest (and somehow, 6, 7 and 8 have a lot of foreign names, hmm). As far as blur between species and species go, dunno, maybe some race's name like "Kyuketsuki" (vampire if I'm not wrong) are translation convenience or gets compared to similar things ? Things'll be easier if ZUN choose to settle for one way of calling them. Maybe Ningyo and mermaid were both used deliberately because people confuse them ?