15 years, and haven't given up

My grandfather told my mam and uncle that he was in the Coldstream Guards, and received the MM and DCM, even signing his name with the initials. They believed him of course.
Only when I started searching for info on him, did I come to the conclusion that he either changed his name, or made it all up. He definitely received an army pension, and was injured in the war, even died through his injuried years later. But there are no records on Ancestry pensions, Coldstream Guards, or any other regiment who might fit him.
Also there is no record of him and my grandmother being married, I've checked everywhere. Making me think that he was probably already married. My uncle wasn't baptised until he was 5, just before he started school.
Maybe one day I'll get to the bottom of it. His medals have conveniently disappeared as well. My mam remembers him getting them through the post, after a nurse sent them on to him, but they had been in the post for years, finally finding him.
Don't give up, one of these days, I'm hoping something will turn up
Rosemary