So now, if I were you, I would try to see what happened to those Helen Lockharts. And I would assume that your Ellen very likely started out life as Helen; the two names are virtually interchangeable, along with Eleanor. I've seen people called all three, in different records throughout their lives. And you've got that "Helen Orr" birth to illustrate the pronunciation thing!
Helen was much more common in Scotland at that time than Ellen. The 1841 Scottish census shows 292 Ellens born in 1816, but 2,866 Helens.
And don't forget spelling variations for Lockhart, e.g. Lockart. I have a friend in the US whose family I researched a few years ago. Her gr-grfather was a Marcum. After figuring out who he was, I found that a couple of generations farther back he connected with a Marcum family in the southeastern US that has been hugely researched, starting with a drummer in the Revolutionary War -- and the name was Markham until they crossed the water and there was nobody around who know how their name was spelled. Just for example.

I have no idea about Scottish geography really, so crossmatching any births that were found with marriages and deaths would take some researching for me. One Helen Lockhart did marry in Dumbarton, in 1840. (She could be the one born c1830 who is in the 1841 census living with a McLean couple.) (Er, no she couldn't. My arithmetic and reading comprehension seem to be as bad as my Scottish geography.)
It is tough slogging but sometimes the best you can do is take all the possibilities and track them each to where you can rule them out, if you can, and see who is left. Get some credits at ScotlandsPeople, identify the possible births, look for their marriages or deaths (i.e. while still single), look for siblings of the possible Helens who might also have gone to Canada, look for the various parents and siblings in later Scottish and Canadian and US records ... You may come up with a match that you might never be able to be certain of, but that is almost positive, e.g. if you found a Helen/Ellen born in Scotland whose family members match people in Canada.
Also keep in mind that James and Ellen could have had other children who died in infancy, whom you have not identified, who might have been named for Ellen's family.
If she was born in Scotland, as it seems from the censuses, she has to be there somewhere! Of course, parish records for that era are not complete at ScotlandsPeople, but it's the starting point for looking, anyhow.