Richard,
Most Irish research comes to a stop around 1800 due to a general lack of records. The oldest records in the city of Derry are for Long Tower. They start in 1823. There’s really nothing before that so you tend to come to a standstill, unless your ancestors were big landowners or notorious in some way.
The MacDonald with land in Antrim that you mention will be the MacDonalds (McDonnell in Ireland) from Islay. That’s an island about 25 miles north of Ballycastle in Co. Antrim. Originally Lords of the Isles, one of their descendants was Sorley Boy McDonnell who was granted land in north east Antrim by the Crown in the late 1500s. His grant wasn’t part of the Plantation (which started in 1610). It pre-dates it by 50 years or so and was under Queen Elizabeth I.
https://en.wikipedia.org/wiki/Sorley_Boy_MacDonnell
Sorley Boy encouraged a lot of his Scots tenants to move to Antrim, which was pretty sparsely populated then. Many of them were Roman Catholic (as was he). Their descendants still live in that area today. Sorley Boy and his successors, at one time owned a quarter of Co Antrim. In time they acquired an Earldom and the current Earl of Antrim still lives at Glenarm Castle. You can visit it today: https://glenarmcastle.com
But those McDonnells didn’t have any land near Londonderry.
Not all the Scots settlers in Ireland were Protestant. The majority were mostly Presbyterians with a few Episcopalians, but some Catholic settlers came too. In addition to the McDonnell tenants, the Hamiltons, from Paisley near Glasgow settled near Strabane and they brought a lot of Catholic tenants with them. Their lands later were known as the Abercorn estate. Which still exists.
Name spelling changes when someone moved to Scotland are very common. Nothing to do with avoiding discrimination, in my experience, just the Scottish way of pronouncing and spelling names which most people went along with. People weren’t very literate then but even when they were, they weren’t bothered about spelling and any perceived “correct” version of a name. So names got changed like that all the time. The forename Ellen is very common in Ireland but less so in Scotland, where Helen is the predominant version. Ellens from Ireland who move to Scotland usually end up as Helen because it’s what most folk there just assume the name is. You’ll see Protestant names altering when they went to Glasgow in the 1800s too. So nothing to do with discrimination, in my experience.
McCollum isn’t a name exclusive to one religious denomination in Ireland. MacLysaght’s “the Surnames of Ireland” doesn’t say a lot about it, beyond it being a common name in Ulster. As I mentioned previously, in the 1901 Irish census there were 473 McCollums of which 181 were RC (so about a third). There were 303 McCallums of which 46 were RC (so about a sixth). So both versions have more Protestants than RC. I would agree that most around Londonderry were Protestant in 1901. However looking at the 1831 census, there were 3 McCollum households in Derry city and all were RC. No Protestants McCollums in the city at all. No McCallums of either denomination.
I suppose what you are asking is whether your ancestors were “native Irish” or whether they are descended from Catholic Scots who arrived in the 1500s or 1600s. I don’t know is the answer to that.
Possibly DNA testing may be a way of matching with others who have additional information about where the family originate. Family Tree DNA reportedly has more people with Ulster roots than any other company. That obviously increases the chances of finding a match. You might want to try them or, if you have already tested, you can transfer your results to them for no fee.
The North of Ireland Family History Society is running an Ulster DNA project in conjunction with FTDNA and can offer testing kits at a reduced price. http://www.nifhs.org (Go to DNA project on the website).