Dolfo is a member of Jackies mob family in The Darkness 2. He can be found on the balcony of the mansion shooting bottles and pigeons, you can join him and possibly impress him if you are fast enough, if so an achievement or trophy await you. While in the asylum he is called Adolf and takes on the persona of Adolf Hitler. He seems to rarely leave the house and is always trying to prove himself to his superiors. Dolfo does have a talent for rigging explosives as shown in the Vendettas campaign as he fixes up multiple bombs for the Darkness Assassins. He surprisingly does play a bigger role in Vendettas than the main story due to his expertise with explosives.
In the mission "Is this Hell?" you can find many of your friends. One of which is Dolfo, if you walk up to him and speak to him, he will appear with the name Adolf, upon speaking to him, he will say the following (Click link for video, what I heard from. It is pinned in the comment section.)