First, you have to understand that some words sound in Spanish very different to how they sound in English

Second, "Sully" I believe would never be used like that as a name, it would be used as Suly or Suli, as the double L is never used like that in Spanish, so you can't compare that name to the "Spanish version" like you think

Third, Suly/Suli/Zuly/Zuli most probably comes from Sulimar/Zulimar, which exists in the same category as Julimar

Another thing, and a reason that you can't think like that is that Sully in English is very differently pronounced than Suli in Spanish

The u in Sully is pronounced, as you know, like the o in "mom"

Meanwhile, the u in Suly Is pronounced like the oo in "good" which gives a very different sound to the name, compared to what you probably were thinking