I think [name]Alice[/name] and [name]Lucy[/name] from your list would be very charming with big brother [name]Henry[/name] (which I love, by the way!).
[name]Just[/name] wanted to add [name]Henry[/name] & [name]Clara[/name] as a possible pair to your lovely list.
I like [name]Fiona[/name] and [name]Olive[/name] best. I think [name]Lucy[/name] itself is too close in sound, and nicknames for [name]Harriet[/name] ([name]Hattie[/name]) and [name]Penelope[/name] ([name]Penny[/name]) are too close in sound as well.
I love [name]Henry[/name] and [name]Lucy[/name]. I really like the name [name]Harriet[/name], but I am not a fan of alliterative names…would you feel stuck giving a possible baby #3 an H name as well? I also love the way [name]Henry[/name] and [name]Esther[/name] sound together. That is one of my favorite sibsets these days.