Dolly is a character in Killer Is Dead. She is a secondary antagonist, directly assisting David by misdirecting the members of the Bryan Execution Firm. Mondo duels with her in dreams several times, and is ultimately able to partially shake himself free of her influence.
The Art of Killer Is Dead description: "A girl who appears in Mondo's dreams. Moves as if floating, and laughs in a decidedly creepy manner. Seems to be trying to actively alter Mondo's memories through his dreams."
It's possible that she may be related to or is (in fact) Moon River given how she appears shortly before Moon River greets the targets that survive their encounters with her.