Hello Margaret. I'm sorry, I don't have that information. The Gregg and Cunningham families were definitely very close. John Gregg 1752 married Elizabeth Cunningham 1755 on 16th Sept 1783 at Nichol Forest. Both families were spread along the Scottish border. If Jane and Henry were married in 1806, a guess at their births may be around 1780. I have a Jane Gregg on my tree baptised 1782 at St Bees, Cumberland. This would fit, and I don't have a marriage for her.
Have you seen an original copy of the parish register, that may give more information than somewhere like family search. Do you know much about the Gregg's and Cunningham's, their occupations etc. This may help connect my Jane to your Jane. If they are the same Jane, I have another 3 generations and possibly 2 more