I don’t see James Connolly’s baptism but I do see 3 other children born to Felix Connolly and Mary Collins.
Ann Jane Connolly 1.11.1855
Mary 25.9.1859
Felix 17.11.1861.
All born in the parish of Loughgall, Co Armagh.
https://registers.nli.ie/There are trees on Ancestry which list this family. One records the family living in Derrykerrib, Co Armagh, but I can’t find any such place.
Here’s the birth of Patrick Connolly to the couple in 1865. The family were living in Derryneskan, which is in the parish of Drumcree, Co Armagh.
https://civilrecords.irishgenealogy.ie/churchrecords/images/birth_returns/births_1865/03556/2309512.pdfFelix is noted as dying in Scotland, though no details are given.
Trees on Ancestry are not always accurate (to put it mildly). Don’t take any information on them on trust. For example, one tree shows a daughter Mary Collins (born c 1859) as remaining unmarried and dying in Richhill Co Armagh on 12.1.1928 but I cannot find a death in Armagh that matches that.
Many of the family appear to have moved to Massachusetts.