I don't know if the whole story will ever be known, but it really is starting to look like, for whatever reason, Annie and James McCabe didn't marry, but having him at the same address is hinting that at least the two youngest children, John James and Kathleen, are his.
It could be a matter of the girls growing up with the name McKee, and as they didn't marry so never had cause to give a father's name, just carried on with it. John James preferred to use his real father's name, not an alias.
This is only a guess though!
I will finish looking through the directories in a few days.... too much staring at the screen today!