Question..
My first name is "Leo"... it is the Astrological/Mythological "one"..
Is there such a character in Japanese?
Technically, anything can be written in kanji as long as you can find characters that closely match the pronunciation. Most parants choose names based on meaning and often loan part of the name from a relative. Kind of the same way you see, a family with three kids named, Jake, Jennifer, and Julie.
More recently, so called "Kira Kira" names have become popular, which is where people are basically inventing new names with unusual or obscure kanji, or by using very uncommon pronunciations for them. This is generally pretty problematic, because it makes it impossible to know how your name should be read. Now a days, a lot of people need to ask. - Due to the nature of most kanji having multiple different readings.
My coworkers son's name is Leo (not sure which kanji he uses though).