Most of the native English speakers seem to prefer to be called by their first name (given name) or nickname. We, Koreans do not call others by their given name only unless they have a very close friendship because we think it is very rude to call someone's name without a title. Therefore, even when we meet foreigners, we tend to hesitate to call their first name only.
Anyway, I think the best way is to say, "my name is Courtney Jean but just call me CJ (or Jean)".
By the way, I don't think both Jean and CJ are difficult for Koreans to pronounce. But Courtney could be because of the "r" sound, though in Modern British English, this "r" sound is dropped away. I think Canadians still reserve the pronunciation of "r" like Americans.