Donegal did have a former name: Tirconaill/Tyrconnell. This is named after the old rulers of the area. It was even the official name between 1922-1927. Clann Ó Domhnaill were the ruling clan between the 13th and 17th centuries, which brings me to my second point.
Perhaps Donegal doesn't come from Modern Irish. You may need to look at Early Modern Irish which was the form used between the 13th and 18th centuries. I know nothing about this form of Irish but I'm assuming that grammar rules and pronunciation weren't as set as they are for modern languages.
Another possible explanation is that the Anglicisation of the name came from the spelling of "Dún na nGall" rather than pronunciation. After searching a little, I have read that originally in English it was written in forms suchs as "Dunnagall" and "Dunagall" before settling on "Donegal".



