A History of Methodism gives membership at Marazion of 78 members in 1821.
And a plan of the Penzance circuit of 1817 mentions Marazion amongst the 25 places.
When searching for Methodist baptisms, you need to search on the circuit name, and not the actual location.
My forebears lived at West Putford in North Devon, but were included in the Kilhampton (Cornwall) circuit!

There don't appear to be any registers for Marazion dated before 1841?
See
http://west-penwith.org.uk/wpenchp2.htmThe introduction page on that site says:
It should be noted that baptism in the Methodist churches was uncommon before 1815 and even in the 1830s many Wesleyans were baptised in the parish church. Prior to 1837, marriage was not permitted in any but the Anglican Church so you will need to look there.