You'll find lots of conflated profiles on FamilySearch.org when the names are common and similar/same for all the parties named on the source documents/transcriptions (my experience).
edit: I've removed the christening record and attached it to the correct individuals. Now to check the other attached records...
All census records say both parents born in Kentucky.
Here is 1860 census link:
"United States Census, 1860", database with images, FamilySearch (https://familysearch.org/ark:/61903/1:1:MZB2-9BQ : 19 March 2020), Mary J Dunn in entry for J M Dunn, 1860.
"United States Census, 1870", database with images, FamilySearch (https://familysearch.org/ark:/61903/1:1:MXW4-Q8Q : 19 March 2020), John M Dunn, 1870.