Deborah
I assume you've checked the IGI? There's a couple, Richard and Jane Welburn, having children around this time, but no Henry. Couldn't find a marriage at Westow for them. Possibly they married in another parish and Henry was baptised there. A Richard Welburn married a Jane Nicholson at Scrayningham in 1832.
The family probably take their name from nearby Welburn (my own ancestors, Welbourns, whom I've traced back to Wintringham, probably did, too).
Sorry, I've no access to the actual parish registers. They're both at the Borthwick.
All the best
Joyce