Well think of it this way. You're learning Spanish. When in doubt, go with the Spanish spelling of the names. If you don't know it, Spanish is very phonetic, words or names don't often include letters that don't correspond to sounds (if at all) unlike English with silent Es and PHs and all sorts of funky things going on (I blame the French influence). Spanish even indicates which syllable to stress!
So -- just sound it out and use the letters that make those sounds in Spanish.
That said, I don't think Duolingo should be marking translations incorrect based on misspelling of names (especially when it's a listening exercise), but it's not much more effort to get it right.
With all due respect, there are times when using "call themselves" as opposed to "their names are" would sound perfectly acceptable. They call themselves Batman and Robin. They call themselves Isabel and Sonia, but I call them the Dynamic Duo! To say that no native speaker of English would ever say that just isn't so (although I concede that it would certainly be less common).
I have read all the comments and I offer my own comment base on my experience and ask a question.? As a child I inherited the family name William. Unfortunately in my family both my grandfathers were called William. So my mother had a problem when both my grandparents were present and she wished to call me to chastise me. She called me and both my grandfathers jumped up thinking they were summoned. She overcame the problem by calling me by my third name Richard. My question is as my official name is William and is placed on official documents, am I correct to say My name is William, Mi nombre es William? However as everyone knows me as Richard, am I also correct in saying , I call myself Richard, Me llamo Richard? I offer this as a way out of this dilemma.
This can be a difficult bit of grammar. 'Le' is an indirect object/pronoun meaning 'you'. 'Se' is a reflexive pronoun which has a meaning more like 'yourself'. This article should help you with the indirect pronouns: https://writingexplained.org/grammar-dictionary/indirect-object And here is one for using reflexive pronouns: https://www.spanishdict.com/guide/reflexive-verbs-and-reflexive-pronouns These are easy to read articles which explain it much better than I could.
Unless their names are actually Maria and Linda, but they call themselves Isabel and Sonia, that isn't the construction that would normally used. 'Llamarse' is 'to be called', so 'They are called Isabel and Sonia' is one way of translating this, although it's more likely that one would say 'Their names are....'
Looking at the words offered for use in the sentence I chose those above. However if I I constructed my own sentences without your guidance I would have written the following, Sus nombres son Isabel and Sonia, or Ellas se llaman Isabel y Sonia would translate in English to They call themselves Isabel y Sonia.
Were you writing in Spanish? If so, Spanish spelling rules will usually tell you how to write a word. All the letters in a word will be pronounced, and there are no random double letters. As the 'll' in Spanish is considered a separate letter and is pronounced 'y', writing 'Isabelle' will give you the pronunciation 'Isa-be-yeh', whereas 'Isabel' is pronounced exactly as it is spelt.