Dunn came off the bench in the second half to win the game, picking out the top corner with a quality strike in the final 20 minutes of the game.
England gave a more than decent account of themselves on the day, and they could have been ahead at the break had a handball shout against Becky Sauerbrunn resulted in a penalty.
They could have taken the lead on the hour too, but Toni Duggan opted to shoot herself instead of squaring the ball to teammate Jodie Taylor.
Width the key
Despite the USA coming into the game having beaten England twice in the last two years in friendlies, it was the Lionesses who enjoyed the better start across the Atlantic on Friday morning.
Tenacious and hungry, Mark Sampson's side were in the faces of the hosts from the off, giving them little time to settle in the middle of the park. As a result of this, as well as being due to the way the two were set up, it was the wide areas where the players enjoyed more success.
Full-backs Lucy Bronze and Alex Greenwood provided threats for England, whilst teenager Mallory Pugh was causing the former all sorts of problems with her electric pace.
It was Pugh who carved out the first real opportunity of the game with a run down the wing too; her cross finding Alex Morgan, but the striker could not apply the finish as the ball ran wide of the target.
The Lionesses' clearest sight of goal in a tight opening period, meanwhile, came when Duggan charged the ball down and won it back in the attacking third, but was dispossessed in the US' 18-yard box after lacking quick fire support from her teammates as she tried to hold the ball up.
Nonetheless, Sampson's side should have had an opportunity from 12 yards as we neared the break, but strong penalty appeals were turned down.
American defender Sauerbrunn got the wrong side of Taylor and, as she was looking for the England striker, she batted an incoming pass with her arm, though was fortunate that her body blocked the view of the uninterested referee.
Just as easily though, the visitors could have gone in at the break a goal down as it was the hosts who ended the period on the front foot with their best spell yet.
They could have nicked the lead on the stroke of half time as Pugh used her pace to get in behind the defence and, though Gilly Flaherty came across well, her tackle only teed up Carli Lloyd to strike - with Greenwood on hand to block.
A half chance came for the hosts in the final action before the break too, with Pugh heading Tobin Heath's cross down into the ground and Morgan directing it wide of Karen Bardsley's net. The interval came at the right time for England, no doubt, as the US were certainly enjoying their play in those few minutes leading up to it, but the Lionesses had been as good as - if not better than - their opponents otherwise.
England should go ahead - but instead it's the US who take the points
The second half picked up where the first left off, with it really much a stalemate as England cancelled out America's threat with high pressing but were upended themselves when they got forward.
They really should have taken the lead on the hour, however, when the US switched off and allowed England in, two on one at the back. It was Taylor and Duggan who broke through, with the latter on the ball and having her teammate to square to, but she instead opted to shoot and only found the gloves of Hope Solo as the big chance went begging.
The Lionesses continued to be the better team after this opening, but they were unable to carve out anymore clear chances and would instead rue the big miss when Dunn put the US a goal up in the last 20 minutes.
The Washington Spirit winger had only been on the pitch five minutes, but she had been lively since entering the fray and broke the deadlock with a moment of magic. As Steph Houghton switched off for a moment, Dunn took advantage, spinning away from her and turning to fire the ball into the top corner from the edge of the box.
It was harsh on England, who some would argue had been the better team overall, but it was a moment of sheer brilliance that was worthy of opening the scoring.
The Lionesses struggled to create much in response as the US opted to shut up shop - switching to a back five - and so the lead was a relatively easy one for the hosts to maintain until the final whistle.
Sampson and his side can take plenty of positives from the game - but no points.