Liz, thanks for clearing up the Mary question. Now I know why that rang a bell.
sleepy, to answer your question about the picture...the movie portrays Dillinger carrying a picture of Billie in his locket but apparently when he was shot the locket he had in his possession had a picture of Polly.
I agree they movie did not portray Polly as his girlfriend, I suppose because it was trying to tell a love story and that would have ruined the ending. The movie also hit the point hard that Dillinger knew Anna Sage for quite some time and therefore could have known Polly as well.
To add a thought on his feelings for Billy. I was re reading the part about Dillinger meeting up with O'Leary to bring money for Billy's defense and discuss tactics for Piquett to use in her trial. Strangely enough, he brought Polly along to those meetings. It doesn't say if she was in the conversation or waiting in the car.
He obviously still cared for Billy to be paying for her defense even though he was seeing Polly.
I am starting to believe he may have known Polly quite awhile since she worked for Ana Sage. He seems to have known Ana for awhile probably through his connections with the Chicago mob since she was Zarkvichs paramore. In my opinion the mob probably set him up a place to stay at Ana Sages and that is why he didn't suspect her and Zarkovish to turn him in.