U.S. Marine Corps Muster Rolls, 1798-1958 have a James J Grimes
Applied at R S Memphis. Tennessee. Mar 1912 - Enlistment Date: 19 Mar 1912
Transferred to Charleston. SC
Picking up a substantial family tree which seems to indicate James John died at Sea of Fever Whilst in The Navy. (No source) Maybe he died before he could appear on US Census

When was your last sighting of James John in the UK ?
Family tree gives the mother Sarahs death as 17 th August 1921 Cook County. Illinois but looking at the family search info - it gives incorrect parents for her

UK 1881 Census show her as the daughter of Joseph and Hannah Fear which should be Tear.
https://familysearch.org/pal:/MM9.1.1/NQPY-3X2In 1920 Sarah Jane Grimes is in Wisconsin with her daughter Nellie (Champness) and family
https://familysearch.org/pal:/MM9.1.1/MFK3-JXQWhen Sarah entered Canada and the USA she had a son Cyril with her, he died in Cook. Illinois 16 July 1916 - the information on him is correct on family search. The border crossing for Sarah and Cyril in November 1914 mentioned a son George Grimes in Toronto but only gave an address they were going to in the USA.
https://familysearch.org/pal:/MM9.1.1/N7S7-XLKCannot see anything on James

Sandra