As all 4 McNally children were born in Ireland, I had a look on Griffiths Valuation for father Robert, and there are only 4 http://www.askaboutireland.ie/griffith-valuation
(none in Dublin). There are also 2 Elizabeth McNally's but too early (c 1854).
As Josephine was born c. 1866, her Civil birth should be registered, but I couldn't find it either.
My g-grandmother was BRIDGET McNALLY, born Maynooth, Co. Kildare c. 1830, and I've seen records for the name spelt McEneally, MacNally, McAnally, etc.