Verna, although the 8th (aka 5th) Arkansas Cavalry was not involved in the Vicksburg Campaign, it's possible that Marion W. Shelton inadvertently got caught up in it. He was exchanged at City Point, Virginia, on June 2, 1863. In making his way back to Arkansas, he would have crossed the Mississippi River somewhere in Mississippi, and he would have done so just about when the seige of Vicksburg was reaching its climax. So your family oral history about his involvement likely has a basis in truth. I've read accounts of returning prisoners of war dodging Union patrols and gunboats trying to get across the river in the latter stages of the Vicksburg Campaign, and they read like combat narratives.

He doesn't appear on the list of soldiers captured and paroled at Vicksburg, so he obviously was successful in making his way through the Yankee lines back to Arkansas.