Welcome to Ireland Reaching Out!
It appears they also had a daughter Rose Anne in 1894. See transcription of church baptismal record below from the subscription site Roots Ireland. I also located the 1882 marriage record for Michael and Anne and Neil's 1904 death record. I wonder if Michael and Anne went to Scotland or England and took Rose Anne and then when Neil died the other children came over?
Name:Roseanne MccallionDate of Birth:
Date of Baptism:10-Dec-1894Address:CarndonaghParish/District:CARNDONAGHGender:FemaleCountyCo. Donegal
Father:Michael MccallionMother:Annie MclaughlinOccupation:
Sponsor 1 /
Informant 1:James DohertySponsor 2 /
Informant 2:Kate Mckinney