From what source do you find he died March 1863?
James McConnel, age 34, enrolled for duty with Company I, 33rd Arkansas Infantry June 24, 1862 in Montgomery County, he is recorded present on the companies muster in roll dated July 3, 1863 at Camp Hindman, the next muster roll should have been taken for the months of July & August, 1862, this roll is missing from the compiled service records for Company I, the next bi-monthly muster roll which has survived is that for the months of September & October, 1862, dated January 29, 1863 where the company was stationed at "Camp Near Little Rock." Apparently, James' status was not recorded which would lead one to believe his status would have been noted on the previous muster roll which is missing. Had he been dropped, resigned, died, etc., that information would have been so recorded and his name dropped from the rolls thereafter.
M317: Compiled Service Records of Confederate Soldiers Who Served in Organizations from the State of Arkansas
I would suggest, that you seek out the Supplement to the Official Records, Broadfoot, and xerox the Record of Events for Company I, 33rd, and forward with your application to the VA giving the information noted above.
The Supplement volumes will usually be found in major city and University libraries.
Subsequent muster rolls which survived:
Sept & Oct 1862 dated January 29, 1863 at Camp Near Little Rock
March & April 1863 at Camp near Little Rock
July & August 1863 at Little Rock
December 31, 1863 to February 29, 1864