I think that put together to form most double names, Sonja is an extraordinarily clumsy name in Norwegian. The same goes with Olav and Dagny. (Dagny is, by the way, not really a name you saddle young children with nowadays. It's the name of a parents/grandparents generation.)
Furthermore, with Leah, they proved that you don't have to name the child after their royal/non-royal ancestors. Märtha and Ari can play a bit more with their children's names than Haakon and Mette-Marit can - which is also why I don't believe they'll end up choosing something like Dagny. Old-fashioned names are in at the moment in Norway, but Dagny is one of those names that hasn't really gone up. Kind of like Bertha.
If they're going for the family connection, Josefine/Josephine might be an option - it's represented on both sides of Märtha's family tree. It also works with Angelica & Isadora.