It is common in Ireland, although I believe that it is Spanish orginating from Our Lady of Dolores. There are many, many names coming from devotion to Mary (especially in Ireland), perhaps the name Dolores came with the Armada, I know that my family, originally from Ireland, had several Spanish names, for some strage reason (my uncle hated his - Alfonso!) I believe that Helen made a list once.

Here's what I found on one site:
In Spain and Portugual and other Roman Catholic countries there is a class of feminine names which are given in honour of the Virgin Mary. Some of these, for example Dolores and Mercedes, are taken from titles of Mary, while others such as Concepcíon and Anunciación refer to events in her life.
http://www.behindthename.com/sources.html

http://www.mexconnect.com/mex_/travel/jking/jknuestradolores.html