Have you located any death records particularly for Catherine Gillian which might show parents names and would help in searching for possible baptismal records? Gillan/Gillen is a surname found in Co. Sligo and there are a number of baptismal records around 1856 for a Catherine Gillan/Gillen in Co. Sligo according to the subscription site Roots Ireland.
McDonough/McDonagh is a common surname and found in many counties including Sligo. I did not see any baptismal records for a William McDonough/McDonagh in Sligo back to the 1820s. Many RC parishes do not have records back to the 1820s in Sligo.
Have you considered DNA testing?