This work analyses the effect of the Helium content on synthetic Period-Luminosity Relations ( PLRs ) and Period-Wesenheit Relations ( PWRs ) of Cepheids and the systematic uncertainties on the derived distances that a hidden population of He-enhanced Cepheids may generate . We use new stellar and pulsation models to build a homogeneous and consistent framework to derive the Cepheid features . The Cepheid populations expected in synthetic colour-magnitude diagrams of young stellar systems ( from 20 Myr to 250 Myr ) are computed in several photometric bands for Y = 0.25 and Y = 0.35 , at a fixed metallicity ( Z = 0.008 ) . The PLRs appear to be very similar in the two cases , with negligible effects ( few % ) on distances , while PWRs differ somewhat , with systematic uncertainties in deriving distances as high as \sim 7 % at \log P < 1.5 . Statistical effects due to the number of variables used to determine the relations contribute to a distance systematic error of the order of few percent , with values decreasing from optical to near-infrared bands . The empirical PWRs derived from multi-wavelength datasets for the Large Magellanic Cloud ( LMC ) is in a very good agreement with our theoretical PWRs obtained with a standard He content , supporting the evidence that LMC Cepheids do not show any He effect .