レオ is the most common (the easiest way to check this is to find a famous Leo on wikipedia and look for the Japanese version of the page).
However, if this is for your name or the name of someone you know and you feel that リオ is a better representation of how you pronounce it, there's nothing stopping you using an alternate spelling. There already exist cases where there is more than one correct spelling in katakana, usually because there's more than one way to pronounce the name (e.g. Louis can be ルイ or ルイス)