In my selectee letter my name was last: Osman, first: Ahmed, Middle: Ali
While in my passport it is First: Ahmed, last : Ali Osman Ali
Whould that make an issue for me and how i should write it in DS-230
The instructions on the DV lottery do tell you to enter your names exactly the way they are written on your passport. So this may be a problem. I'd suggest you contact KCC directly for advice as you are only likely to get speculation here, unless someone with a similar situation who has already been through the process reads this and answers.
That information in the instructions is misleading. Probably not all applicants have a passport by the time they send the eDV. At the end it matters what is in the birth certificate.