Is it okay to use this nickname?

Hello
I know this is kind of silly but I just learnt that the word サイ means rhino in japanese. And Sai has been my nickname almost my whole life.
I’m going to Japan next month so I was wondering, is it okay to still use this nickname over there? or it’s just too ridiculous?
I need your opinion. Thanks!

It's OK to be a rhino in Japan.

You'll be fine. Japanese is a sound-poor language (i.e. the total number of available sounds is small), and Japanese speakers now this by virtue of how many different Japanese words have the same pronunciation. For example, in addition to rhino, "sai" can mean ability, die (as in the square gambling/gaming item), difference, or occasion.

Upon hearing your nickname is "Sai," odds are most people won't even form the mental connection to rhino, and will instead just process it as "Oh, Sai is a name in this person's culture." You might get a chuckle or two, but probably not, and no one is going to be shocked or offended.

And in any case, count yourself luckier than the guys I know named Gary (which is pronounced the same as "geri," which means "diarrhea" in Japanese) and Dave (which gets pronounced in Japanese as "debu," meaning "fatty").

Gary (which is pronounced the same as "geri," which means "diarrhea" in Japanese) and Dave (which gets pronounced in Japanese as "debu," meaning "fatty")

Wow, I never thought of that! No wonder we Japanese call them "geirii" or "gyarii" or "gearii" and "deibu" or "deivu".

サイ(Cy) is also the nickname of Denton True Young, a famous American baseball pitcher, short for "cyclone".

The last name of current president of Taiwan 蔡英文 reads Sai in Japanese on-yomi.

So, it does not matter whether you are a man or woman, there is nothing to worry about using the nickname Sai.