According to the book "Serving with Honor, the Diary of Eathan Allen Pinnell of the Eighth Missouri Infantry (Confederate)" by Michael Banasik, it states that he was "Captured and Paroled; Exchanged at City Point, VA; arrived Richmond, VA, Mar. 3 1865."
This is a little confusing, as the 8th did not fight east of the Mississippi river. and usually, prisinors would have gone to the closest point in Union control. There is a record on file with the Missouri State Archives, Box 106, Reel S-734. You may also check the special Census for 1890 for Veterans in the county he was living in at that time. Good Luck.