Have you tried to find out more information from the National Archives or South Africa? (
http://www.national.archsrch.gov.za/sm300cv/smws/sm300dl)
I did a quick search in there, and there are a number of James and Annie Kelly's, although none of them match up 100% with your information.
There was a James Charles Kelly who died in the Transvaal in 1926 who was survived by a spouse named Annie.
And there was a Charles Colville (no Kelly) who died in Natal in 1936.
Colville is a more unique name, but there are no James Colville Kelly's in the system. There was a Thomas Colville Kelly that was living in the Witwatersrand area in 1903.
If you do manage to find any index entries in the archives that seem to match up to the people you're looking for, you could try get photographs of the archive documents sent to you by the genealogical society:
http://www.eggsa.org/sales/eshop_e_dc_docs.htmFinding the ship they travelled on and when they came over might be a lot more difficult, as the passenger lists are far from complete for those time periods.