I didn't read Adorno and don't know much about him.
But Nabokov, who read everything, certainly did read him and had
something (but what?) in his mind, when he gave this name to a character, a
second-rate comedian. By the way, I notice that Adorno = tornado - t = no
ardor - r = narodov (Russ., "of the nations") - v.
No, I didn't find the precise origin of the
phrase 'gory Mary' (if that is what you ask). I think that VN (who must have had
in mind the anagram: gory Mary = orgy + army) has coined
it.