Donnelly is a city in Stevens County, Minnesota, United States. The population was 221 at the 2020 census. Donnelly was originally calleā¦Donnelly is a city in Stevens County, Minnesota, United States. The population was 221 at the 2020 census. Donnelly was originally called Douglas, and under the latter name was laid out in 1872. The present name is in honor of Ignatius L. Donnelly, a U.S. Congressman from Minnesota. A post office called Donnelly has been in operation since 1876.