Charlotte Mary Yonge - History of Christian Names (1863)
Archive.org direct link (1884 revised edition)
Open Library main page
Skimming titles I thought this was religious but here "Christian name" just means first name or given name. In fact many of these come from decidedly other religious traditions - Jewish, Greek, Norse, Germanic. It doesn't take the form of a dictionary but groups them into what are considered roots and then described in a more or less narrative fashion. So "Frey" gets a short history of its origins in Sanskrit and passage into various other languages. Then into deities, various kings and rulers, some saints and before long we have an assortment of Frederick, Federico, Fritz, Frederica and so on.
It's safe to flag much of this as today not entirely reliable, not only being the product of 19th century philology but from an dedicated, though very well-read, enthusiast. Parts of it are also clearly speculative. Still on the whole it's pretty entertaining to read even if quite dense at times.
And if nothing else the glossary at the start will provide lots of names for your fantasy novel - Monegonde, Helmtac, Seoin, Valborg.
It won't come as a surprise that Charlotte Mary Yonge (1823-1901) was a novelist, quite popular and prolific but now mostly forgotten. Little seems to have been reprinted and to get an idea of her story one 1943 biography (the most recent apparently) was subtitled "The History of an Uneventful Life". Her first biography in 1903 was written by her friend Christabel Rose Coleridge, grand-daughter of Samuel.