This family is confusing me, don't seem to be any easy answers, first question first, there would have been closer RC churches to Dunmore, I can think of 1 or 2 in Derry which would have been closer but it depends where Ellen Gallagher came from, the church in the Waterside may have been her church, and a marriage in the brides church is traditional.
Now to more confusion, you say David Brown married Annie McClay in 1912, and all Ireland search produces only one result David Brown = Annie McClay, Ebrington Presbyterian Ch, Waterside, Londonderry, David's father is a John Brown, unusually for the bride neither parent is mentioned, this may mean the bride did not know her father or there may be some other explanation
the marriage is also recorded in the Civil register, took place in the last quarter 1912 Oct - Dec Vol 2 page 149
If this is the marriage, David being RC and the Annie you identified as COI, I have no idea why the marriage would have taken place in a Presbyterian church.
Going by the Census details Annie may have been illegitimate this may be why Margaret changes from sister to Mother between the 2 Census records, the ages may also be approximate, note Margaret is single in the 1911 Census, I can also find no suitable birth record for Annie
There is one other outside possibility for an alternative Annie McClay who was 15 in the 1901 Census, mother Margaret who was Presbyterian but she lived in Ramelton, Donegal which seems too far away, I also don't see her in the 1911 Census. (Also don't see a reason why her father wouldn't be in marriage record) http://www.census.nationalarchives.ie/pages/1901/Donegal/Ballyarr/Moyagh/1192926/
Sorry I can't be of more help but this families giving me a headache