Actually the katakana character ロ could be transliterated "lo" or "ro" since the Japanese consonant sound falls between these two sounds in English. It's made by curling the tongue up and touching the back of the tip right on the edge of the alveolar (or gum) ridge behind the front teeth. If you held the tongue a little tighter in the same place, you'd get a posh British trilled "r" and if you uncurled your tongue and put it a little farther forward, just touching your front teeth, you'd get an American "l"
Yen Press, publishers of the translated volumes of the light novel on which the novel is based, say that they "were instructed that the proper spelling of the character's name is indeed Holo" by the Japanese licensor (so says Wikipedia).
The r/l issue causes all kinds of problems in transliterating from Western languages into katakana. Consider the three goddesses in the long-running
Ah/Oh My Goddess! complex. In the original Norse, they are
Urðr, Verðandi, and
Skuld. (The ð character is a voiced "th" sound as in the word "then," vs. the unvoiced "th" in "thin.") In katakana, they become ウルド [
Urudo/Uludo], ベルダンディー [
Berudandī/Beludandī], and スクルド [
Sukurudo/Sukuludo], or in the usual translations,
Urd, Belldandy, and
Skuld.
Note that the ル (ru/lu) katakana character is the same in all three, but is rendered "r" or "l" variously in the back-translation. "Urd" is closer to the original "Urðr" and "Skuld" is the same as in the Norse, and "Belldandy" was a fortuitous invention of Kōsuke Fujishima himself, first appearing in the (English) business card the goddess presents to Keiichi in the first chapter of the manga. (The "let's keep it authentic" Swedish translation changed it to the more accurate "Verdandi.")
In fact, the American "r" consonant sound is one of the most complex and difficult to explain in all world languages. Here's an interesting
page explaining exactly how to utter a good American "r", intended for the speakers of the world's many civilized tongues. Worth reading through just to see how something so seemingly simple could be so complicated when it needs to be explained to a foreign speaker.