My choice is [name]Azalea[/name]! To me [name]Azalea[/name] is exotic and feels “cool”(as in the temperature). Very pretty! 
[name]Veronica[/name] is hard to pin down-- has an air of mystery about it. Centuries of use as a pious saints name, yet also purposefully selected to represent a femme fatale. I do picture someone with dark hair ([name]Archie[/name] comics’ fault, sorry). It also feels like a Catholic name to me.
[name]Azalea[/name] to me sounds like one of many hipster boho botanical names, with no real history in English naming. It’s inseparable from the plant. To me, it’s a “trying too hard” name.
And fwiw-- I think your entire list both goes well with [name]Felix[/name], and is quite usable (with the exception of [name]Thisbe[/name]-- I think that could turn into anything from “kiss me” to “lesbo” in the 6th grade very fast). [name]Penelope[/name], [name]Ariadne[/name], and [name]Bianca[/name] are fantastic. Probably doesn’t help you.
Nicknames for [name]Veronica[/name]-- I like [name]Nica[/name] and [name]Vivi[/name].
namenerdia~ Thank you for pointing out the rich history of the name [name]Veronica[/name]! Your posts have made me fall in love with the name a little harder. My husband thanks you too 
scarlettrobin~ I do think the symbolism of the flower, [name]Azalea[/name], is great. We are thinking about having it as the middle name.
blade~ Thanks for your input! And glad to hear you think the other names on my list would go with [name]Felix[/name] as well. [name]Thisbe[/name] is just a guilty pleasure name for me. However, we have thought about using it as a middle.
What middle name would you pair with [name]Veronica[/name]? And I still don’t know what we would use as a nickname. I really don’t like “[name]Ronnie[/name]” and “[name]Vera[/name]” seems like it’s own name instead of just an occasional nickname/pet name. :-/