On the 1870 census my GGGF's name appears as Conlay in New Haven, Ct. It then appears as Connelly until in 1900 it appears they settled on Connolly for a final spelling. There seem to be a lot of spelling variations for this name. Perhaps you can list a location and rough time period and try the other forums under these slightly different spellings. I know even now when I'm asked my last name, people spell it several different ways as all these spellings are used in my home town- even amongst families I'm directly related to that kept the Conn"e"lly spelling.