I would not recommend real henna for dolls. It would be a horrible mess. It's possible to dye mohair with it, but I wouldn't even want to do that.
So this whole post is based off of henna on real people and the henna I do myself, so I think it's perfectly fine for artists to do what makes them happy with their own dolls, but the pointers I'll give will be in relation to human henna.
The palette for henna starts at a light orange and goes through a maroon to a dark red-sienna color (the darker it is, the nicer your mother-in-law will be to you in the future, supposedly). Only chemically-enhanced (and particularly dangerous) henna is black when the dried plant paste is removed. However, since we're talking about dolliehs, you can have all sorts of colors (there are pastes that are glittery/colorful nowadays, but they wash off and don't stain, so there's always a raised look).
This image shows perhaps the most realistic color of henna for painting. It's a nice warm brownish-red that matches well with the skin tone. The thing I don't exactly like about this is that the henna color is shiny. This may have been the artist's intention, but henna is a stain and tends not to shine (the pigment enters into the upper layers of skin and tends to be slightly fuzzy around the edges). Of course, this all depends on what you want to do with your project (I've seen some people etch designs into the resin and then fill the cavities with color, which I don't suggest doing on real skin as there are toxic compounds in henna).
These dolliehs have nice matte colors and simple yet interesting designs for their henna, though I'd suggest that there's not enough orange/red in the color palette to make my desi side happy (I consider myself a hot auntie already, so stand back and let me watch my 60's melodramas and drink my lassi). Again, this is probably due to artist's preference, so take my words with a grain of salt.
The one thing that seems really difficult to me would probably be getting the scale down properly. I've seen a lot of nice henna designs on dolliehs, but the majority of them seem to be big enough to distract from any realism they may have. This is ok if you don't care about that, but I know it would irk me if I did it on my dolls. I definitely suggest super-fine round brushes and toothpicks. Really, even if you're doing real henna, toothpicks are amazing.
I should probably also mention that turmeric is often used in conjunction with henna -- it stains a bright yellow and is commonly used as a filler or background color. Also, indigo can be used either alone or with henna -- it's actually called 'woading' and has a strong dark blue stain (it's also more common to see 'tribal' or Celtic styles in woading than henna).
Gah, I know this is a month too late and it's a whole bunch of stuff and I'm sorry if I've insulted anyone (and I'm sorry about my run-on sentences and parentheses), but I hope it helps.