Union usually refers to the poor house, or work house. Often the poor house also had a hospital attached.
A church burial as early as 1839, may not have necessarily been recorded in the deaths of the civil records.
Be sure to check for different spellings in GRO.
An 1839 death should be Registered in the District where the death occurred.
Burial might be elsewhere.
The GRO online Index referral to Union does not always mean a Workhouse event. It refers to the Union area, (added see reply by MollyC)
My family's 1845 Quaker burial could not take place without the issue of a separate Death Form by the District Registrar confirming the death was reported to the Registrar, his name, age and the District the death occurred in, which then permitted the burial to take place.
This Registrars Form gave the Church an option to enter the town/place where death occurred in the Church Burial Register.
We have a scan of this 1845 Registrar's Form, which the Quakers kept with their own Burial Register & their own Burial Certificate.
Some Quaker Meetings kept these Registrar Forms, but the Church probably disposed of the Registrar Forms, after the burial was formally entered in the Church Register.
Mark