I was doing some research on Keegans Lane in Ballsbridge and came across your queries. In terms of churches, Sacred Heart in Donnybrook I think was the official parish church. However many baptisms etc took place in St Mary's on Haddington Road and my Dad's family (also from Ballsbridge Ave, similar timeframe) were mostly baptised in St Andrew's on Westland Row, close to Holles Street maternity hospital. It's possible too that local marriages may have happened in Ringsend or Star of the Sea in Sandymount depending on where the bride was living beforehand. They are all in a small enough area.
I just called him to ask about Keegans in Ballsbridge in the 30's and 40's and he says there were two families he knows of. One with a child called Peadar (Irish form of Peter) in Dodder View Cottages around the corner from Ballsbridge Ave. He subsequently went to the UK and was in the RAF.
The second was the Superintendant of Herbert Park, and that family lived in the Park-keepers Lodge. A son of theirs Barry Keegan went on to become an actor in the UK on the 1950's and would have done a bit of TV work which you might be able to check out?
There is a book by Hugh Oram called Ballsbridge Then and Now and there are a few pics of the Pembroke Fire Station c. 1902.
I hope this is of some use.