Tracy,
This is an intriguing case since it contains a little of this and a little of that. It appears that David K. Sheppard of I presume northern sympathy served in 1861 in the Stone County Home Guards probably in his home county. The Union authorities in MO ordered the Yankee home guards disbanded in winter of 61/62, whereupon it appears Sheppard joined the 14th Cavalry Regiment Missouri State Militia (MSM) probably when it was organized in spring 1862. That particular MSM regiment included men from Stone County, and Company F did perform some service at Linn Creek, county seat of Camden County, especially in early summer 1862. During the war there were a few actions in and near Linn Creek, and I also presume that David Sheppard was wounded but more probably became terribly sick while he was there. As a Federal soldier he was entitled to be hospitalized in St. Louis (he would not have been so entitled in the Stone County Home Guards nor would he have been as far from Stone County as Camden County as a member of that local unit). I would further guess that your ancestor died in February 1863 after a long illness in St. Louis and was buried in Jefferson Barracks cemetery (now one of the national cemeteries).
To eliminate the guesswork, I encourage you to use your local library to obtain a form to send off to the National Archives and Records Administration in Washington, D. C. to hopefully obtain a copy of Sheppard's military service record and perhaps a pension application his survivors may have pursued. However, since Sheppard was also a member of a local home guard, I also encourage you to apply to MO State Archives to see what they may have.
This is how you may contact the MO State Archives:
Missouri State Archives
State Information Center
P.O. Box 1747
Jefferson City, MO 65102
phone: 573-751-3280
Fax: 573-526-7333
E-mail: archref@sosmail.state.mo.us
or http://mosl.sos.state.mo.us/rec-man/arch.html
There are fees involved with NARA and MO State Archives is much cheaper, but you face a three or four month wait with either. If they can find Sheppard's records, this will fill in the holes better than I can with my guesses.
Bruce Nichols