there are records online for Nevern at that period. There's the baptism of a Stephen recorded 6 Feb 1791 but no details of parents.
So, taking this from another angle. The 2 witnesses to Stephen's marriage were Thomas Mortimer & Rowland Morris. Rowland Morris then married Margaret John 16 Nov 1820 in Eglwyswrw, Rowland noted as of Nevern. The 2 witnesses were John Williams & Stephen Morris.
1841 census Kilgwyn Quarter, Nevern HO107/1446/23 folio 10 pg 38
Rowland Morris 52 Smith
Mary 48 (should be Margaret)
Hannah 19
James 15
Thomas 13
Mary 6
Jane 4
Rowland 2
all born in county
Rowland Morris of Fronogwydd, Nevern died 9 Feb 1842 and his widow Margaret was granted administration of his estate 12 Nov 1842. The admin is on the NLW site
http://cat.llgc.org.uk/cgi-bin/gw/chameleon?skin=profeb&lng=enI can find their marriages in parish records, but struggling with baptisms & burials which suggests the Morris family could be non-conformist.
On FreeReg, the baptism of Stephen's daughter Elizabeth in 1817 was in Ebenezer, St David's. Ebenezer was Independent - the record from FamilySearch
https://familysearch.org/ark:/61903/1:1:FQQH-TM7so it begins to look like the baptisms for Stephen & Rowland may not be in the parish registers because they were baptised elsewhere & the survival of non-conformist registers is not as good as those of the established church & online coverage is very patchy.
Near Nevern is a very old Independent Church called Brynberian
http://brynberian-online.co.uk/chapel.htmlWhat records exist would be at the record office in Haverfordwest.