This name was especially popular for women born in America in the late 18th century through the mid 19th century, but has since lost its popularity completely. Jane Austen had an aunt named Philadelphia.
I think it's a very pretty, uncommon name for a girl--that is, if you weren't familiar with the area of Philadelphia, Pennsylvania. In my area (Central PA) Philly is mainly regarded as a city comparable to New York City. I think it's a bit ironic that while the name means "brotherly love", the actual city is close to being the biggest area of crime in the US.
Come on now, everyone would immediately think of the city. It's not the worst place out there, and there are places in America with far more stupid people, but it is quite a lengthy and strange name.