Hi,
I'm not sure if there is any relation - Dally isn't a very normal German name - but my father came to the US as a boy with his parents after WWI and his name is Theodore Dally. They came to Chicago, I have presumed, because of family was here but I have no idea. My grandfather was also Theodore Dally and his wife's name was Wilhemina nee Schuman.
I have tried for years to figure out how Dallys got to Germany. Are they Irish immigrants to the continent or were they French. I would prefer the former. If you ave any information, I would appreciate it because if the Dallys you are asking about are you relatives, we could be distant cousins.