I did a bit of research on Nellie for PlanetSlade's Frankie & Johnny essay. Here's what I found out:

The name Nelly Bly first appeared as the title of an 1850 minstrel song, composed by Stephen Foster. It was then adopted as a pen name by the journalist Elizabeth Cochrane, who became famous in 1889 when she recreated Phineas Fogg's trip from Around The World in Eighty Days. The name would still have been familiar to Americans as Frankie's song became popular, but perhaps staring to drift free of its context. Neither Foster's character nor Cochrane's alter-ego had any connection with Frankie's story, but the sound of the name echoed Alice Pryar's quite closely, and this substitution gave singers a less awkward line to negotiate. It's my guess that Nellie replaced Alice in the cast for that reason alone.