I was thinking Dora or Dora-related names would work for Dolly, too. Dorothea, Theodora, Eudora, Isidora, just Dora...Or what about Delilah? The sound difference between then is so slight, it could work. Or Delphine (especially since that one is also related to dolphin. Dolphin, Dolly? Yeah)
Delilah, nn Dolly, works on two levels. You're right about the sounds being so close. But also think of the biblical figure and how Dolly kind of winks at her character. It's subtle, but fun.