Whether a word appears — or fails to appear — in this or that dictionary is no sound measure of its legitimacy. In general, words created through standard derivational morphology need no special headword entry that’s separately attested dictionarially.
Standard English derivational morphology allows for the creation of adverbs of manner from most adjectives by appending -ly to that adjective.
When the adjective itself ends in -y, of course there is a spelling change, but note also that said adjective probably came from a noun to start with, through a different production.
So fun the noun became funny the adjective became funnily the adverb. Just apply the rules, and you make words. There is no “grammatical rule” blocking the form you speak of from appearing. That’s really all you need to know.
Whether you consider some of these awkward is a different matter. Some of these do get long and potentially cumbersome, like anticipatorily, discretionarily, or parliamentarily. But they still are “words”, because you can always make these up as you need them.
So for example, if there were some capillary action, then something could be acting capillarily, although this might sound odd. Or I could send you a missive epistolarily, which is no harder than your own example.
If things become too awkward for your own personal tastes, you can always rephrase it into something more like in an epistolary manner.
Now me, if someone said they were speaking of me ancillarily, I might wonder why they were considering me for a handmaiden’s job. But that’s because I have older associations with ancilla than just the ancillary sense of an auxiliary.