I like using pinyin.
Since I'm writing a story with ties into Chinese culture and mythology anyway, it fits the setting and I think that learning how to use other Chinese terms such as nicknames/formal addresses also adds to the story. I also have a personal preference for it because I like using foreign names and learning their meanings. Typically Chinese, Japanese, etc. names have alternative meanings such as 'white flower' 'beautiful snow' yada yada. It's fun for me to look into these even if I don't do detailed research to make sure I am naming every single character correctly.
I know that a bunch these names can be confusing to newer readers since it uses both surname and given name, but it has never discouraged me from using them. If I am writing a story that is not based along Chinese fantasy, then I make up western/fantasy names.
I could certainly read a story set in ancient China, a Wuxia or something, where the main character was name something like 'Joe' or 'Anastasia', but it would be weird at first. I would assume that this person was probably from a different culture before yeet-ing into this Chinese fantasy world.