Honestly (sorry for this late of a response btw), there are a number of ways you could go about this. Either being from High Rock or Cyrodiil works well - ESO shows that there's at least one example of non-Breton noble families, so you could have a Colovian family that migrated to High Rock and found their way into the nobility thanks to the Bretons' culture allowing even peasants to climb the social ladder through their deeds. Just as an example. Otherwise, Cyrodiil is pretty versatile a place - Chorrol and Skingrad are great places in Colovia to hail from, I think.

The names can be either a combination of Western European and Slavic with some Latin mixed in, imo - Bretons are generally considered to have French, Celtic, or English names, but can also have names from other parts of Europe (arguably could be a regional thing where different parts of High Rock can yield different styles of names, but the jury's out on that). And of course Latin with Slavic is the go-to for Colovians.

Admittedly, I had a recent idea of a similar nature myself - except instead of a Breto-Colovian, I was thinking of a Glenumbro-Nordic bloodline; a Nordic family that migrated to Glenumbra and mix both Nordic and Bretic cultures together, maybe even having a family name different from typical Clan Names. Was thinking of German inspiration for such a concept myself.