Dolly made a return to the starting line-up but was substituted after 62 minutes while his side were still locked at 1-1.
The visitors then went ahead six minutes later, before Ryad Boudebouz grabbed an equaliser in the 84th minute.
However, Nantes stole all three points with a late winner in the 89th minute, stretching Montpellier's winless run to three games.
Dolly has now managed three starts and one sub appearance since joining the Ligue 1 club in January, and has yet to register a goal or an assist.
La Paillade remain in 13th spot, with 33 points from 29 games, but are at risk of dropping one down as Metz, who are two points behind in 16th place, have a game in hand against a stuttering Saint-Ettiene side on Sunday.