Green’s Dictionary of Slang

colli-molly n.

also colli-mollie

[play on SE]

melancholy.

1603		S. Harsnet Popish Impostures 117: The Devil was a little Colli-Mollie and would not come off [N].
1822		R. Nares Gloss. (1888) I 179: colli-molly. A jocular corruption of the word melancholy.