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"Filly" is a nickname for a pretty young woman, carried over from animal husbandry, where it is the term for a female colt.
I've been a fan of the Phillies since I was a kid (b 1964) and I suspect that in this context, it was spelled "Philly", because the Phillies' organization often uses "ph" for words starting with "f", as part of their promotions. That's why the mascot's name is "Phanatic", for example. It's a play on the name of their hometown, Philadelphia.
There are probably references in newpaper articles from the 70s, in game programs, or in the team's annual yearbooks.
Local sportswriters will also use "ph" when writing about the club. For example, if the Phillies lose a game, you might see a headline like "Phillies Phalter".