I think the reference to joining Morgan is an exaggeration. He may very well have gone to Kentucky in 1864 to escape the heat in central Missouri. Certainly he is not the only Missouri irregular to "escape" to Illinois or Kentucky during the war. His father Levi McGuire was a native of Kentucky and I suspect there was still family there. The problem as I see it, as it relates to Morgan, is Morgan's famous raid into Ohio occurred in 1863 when he was captured. He escaped imprisonment in November 1863 and returned to Tennessee, not Kentucky. Morgan was appointed head of the Dept. of Southwestern Virginia in April, 1864. While bivouacked in Greeneville, Tennessee on September 3, Morgan was caught in a surprise attack and shot and killed by a Union private who had once served under him.
So the phrase went to Kentucky in 1864 and joined Morgan just rings false knowing for sure that Morgan was in Tennessee for most of that year.
He did marry in Henry County Kentucky so there must be some connection to Kentucky but I am not sure Morgan is part of it.