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I can give you a few observations.
Connolly (and its many variants) is extremely common in Co. Galway
I don't think the baptismal records for Ellen, Catherine and Joseph are available. Clifden RC baptismal records are available starting in 1838 https://registers.nli.ie/parishes/1046 I searched the subscription site Roots Ireland and there is an Ellen Connolly in 1838 and a Catherine in 1840 both in Clifden but the parents names are completely different. No Joseph in Clifden until 1873.
Most immigrants to a new country would say they were from the nearest "big" town rather than the small townland or village where they were born. So many people used Clifden even though they were 20 miles or more from Clifden. Unfortunately, the parish to the north of Clifden and the one to the east of Clifden have records starting much later. My guess is that your ancestors came from one of those two RC parishes (Roundstone or Ballinakill).
Civil registration of births in Ireland started in 1864.
Ages on census records in the 19th century rarely agree. Also, immigrants frequently adjusted their ages in the new country either younger or older to fit their situation.
The Civil War ended in 1865 so Ellen likely married Joseph Dunbar after the Civil War.
I assume none of the death records listed parents names?
Let me know if you have any questions. You may want to consider adding Ellen, Catherine and Joseph to our XO Chronicles site.