Hi Lee
I'm afraid I had absolutely no luck in locating a marriage for Henry and Mary whilst at the records office. I tried all around the Gretna area from 1840 to 1853 with no luck then moved out to the rest of Scotland and yet again nothing. All possible spellings of the surnames were tried. There are 2 reasons why this could be:
Firstly in Scotland the Old Parish Records are all Church of Scotland records so if your ancestors were of any other religious denomination, no records are readily available. It is only from 1855 when civil registration began that all births, deaths and marriages were recorded regardless of religion
The other reason is quite simply that the parish did not have records going that far back.
I know this is very disappointing for you and I'm so sorry I could not help.
Cheers
Teri