I've never understood why cousins can't have the same basic names, and then have different nicknames.
Nancy used to be a variation of Ann (Anna, Anne). Maybe that will inspire you to further thought. Your middle name options are lovely. If you don't want to use Arlene, there are lots of first names to go with Grace. Maybe you want to look at names that end in a vowel, so that the first and middle names can flow easily together: Maria Grace, Sophie Grace, Nancy Grace. But Evelyn Grace sounds nice, even if there isn't a vowel on the end. So maybe I don't know what I'm talking about.
You all could look through one of those online lists, pick out your top five favorites (that would be ten favorites altogether), and see how you like the whole name, including your last name, over the next few days. Say the full name out loud when you think about it. You will enjoy some names better than others. When you meet your new daughter - assuming you meet a daughter - you'll know which one of the choices is the best one.
Are you calling your baby Spot right now? I didn't quite understand that last paragraph. I called all my babies Whoozis before they were born. When my daughter was expecting, she didn't like Whoozis (for some odd reason!), so she alternated calling the baby Elvis and Myrtle. When he was born, they named him Ian.