ScouseBoy is partially correct. ScotlandsPeople hold ALL the Catholic records - not just for Scots - for:
Alexandria, Chaplaincy of English Forces 1899-1910
Cairo, Military Vicariate 1896-1945
Malta, Military Vicariate 1904 -1927
I did a check and no Wrench record.
I myself have been married twice in Egypt, although not as far back as the '20 and not military based. All foreigners are to be married in the Egyptian Gov office. They require you to get a 'No Impediment to Marriage' from your own consulate. You do not have to register your marriage with your own consulate.
Jamjar