Would he have known about any born but who died? the Mary and John we know about might have been named after an earlier baby.
St Pancras Old Church, Camden
27th June, 1796/23rd July, 1796 Mary daughter of John and Mary Shepard
St Mary Le Strand, Middlesex
18th July, 1801/19th August, 1801 Susanna Amy Shephard daughter of John and Mary
Same church
17 Nov 1803/18 Dec 1803 John Barton Shephard son of John and Mary
St James, Clerkenwell, Middlesex
10 October 1809/29 Oct 1809 Maria Roseland daughter of John and Mary Shephard
St Botolph, Aldgate, London
27 September/29 Oct 1797 John Wilkins Shepherd son of John and Mary, Queen Street, Tower Hill
Nice of them to give an address

There are a number of other baptisms, however I don't know whether they would be applicable because of where they were, if anybody is able to suggest which might be appropriate then I'd be pleased to list what there is later on today.
St George, Hanover Square, Middlesex
St Luke, Chelsea, Middlesex
St James, Clerkenwell, Middlesex
St James, Piccadilly, Middlesex
St Martin in the Fields, Middlesex
St Marylebone, Middlesex
St Mary, Whitechapel, Middlesex
St Pancras Old Church, Middlesex