Thought I'd add where the Pembroke Milita were and in italics for items I know Philip was present:
1795 - Norfolk for the flour riots
[1796 - Philip marries in Norfolk]
1797 - Languard Fort. Philip is mentioned in newspaper report for the Kings visit
1798 May to Oct - Ireland
00 - Based in Plymouth. Philips son christened in Plymouth
02 - Haverfordwest for the visit of Lord Nelson. Band of the Pembroke Militia
02 - Disembodied
03 - Languard Fort
04 - Colchester
06 - Maldon
07 - Peterborough & Portsmouth
08 - Hythe & Bristol
09 - Dungness
10 - Rye & Bristol
11 to 13 - Ballinasloe (Ireland)
13 Dublin & Liverpool
14 Bristol & Haverfordwest
He could have been anywhere & everywhere! 
Hello Sikes. I have read with great interest this post, as well as others you have made on this website, about your ancestor and the (Royal) Pembrokeshire Militia. My 5th great-grandfather, John Parry, was in the Royal Pembrokeshire Militia and married a Wells-next-the-Sea (Norfolk) woman in May 1796, very likely meeting when the militia was posted there following the flour riots in the town. I've been trying to find out where in Wales he has born--I know his date of birth to be circa 1774--or even just more on his military career. His occupation is still given as "solider" on the baptism record of his last child in 1813. Incidentally, to the best of my knowledge, all of his children were baptised in Wells-next-the-Sea.
I hope to look through the muster rolls in WO13 at the National Archives in Kew at some point. I was intrigued to read that your ancestor was mentioned in a newspaper article in 1797 about the King's visit to Landguard Fort. Do you remember the newspaper (and date) said article appeared in, as I would be very interested to read it?
Hi qccka3849, not easy to trace are they

I think that
WO 68/74 at the National Archives contained lots of information when trying to find when Philip was present.
I have extra years and locations for the above, which may be of use to you:
1792 - Pemb Militia reformed
1793 - Marched Hereford to Worcester
1795 - Holt and Warham in Norfolk
1805 - Colchester
And:
- Exeter Flying Post, 22 May 1800: Pembroke Milita to be reduced to 172 rank and file
- [Forgot to write down publication]16 Dec 1802 - Haverfordwest: Lord Nelson visited Haverfordwest. Band of the Pembroke Milita.
Good luck!