Pembroke St Michael is in Cosheston, while St Mary’s is actually in Pembroke. It might have been easier to reach, or family tradition.
I have family around the same time that lived in the area of St Michael and used St Mary’s.
From FreeREG:
St Mary Parish Register Haverfordwest . Pembrokeshire
19 Oct 1729
George ROWLAND . Anne CHILDS
Bride’s Parish . Haverfordwest
(No parents named)