The National Roll of the Great War (if it was published for the area concerned) was collated from information provided by relatives so may not be complete. Unfortunately, the company went into liquidation before the the project was complete.
If you believe your ancestor to have died WW1, it is worth checking the WW1 death indexes specifically for Army, Navy etc. at the GRO. My husband's gt grandfather was not registered with CWGC yet has a standard naval headstone.
Best wishes
Casalguidi