I agree, this one doesn't seem to want to fall together easily. Checking the cemetery referenced for Webster County, there are two graves of interest, but neither one matches the dates on the registry web-site. One has a Confederate marker, but no information as to what unit: http://www.findagrave.com/cgi-bin/fg.cgi?page=gr&GSln=Denney&GSiman=1&GScid=58646&GRid=32910015&. He is sometimes found as James Jackson Denney, and census records would indicate that he is the father of this man who does not have a Confederate marker: http://www.findagrave.com/cgi-bin/fg.cgi?page=gr&GSln=Denney&GSiman=1&GScid=58646&GRid=32910013&. Also, looking at the records for the 2nd MS Cav., Co. B, there is a J.T. Denham. I'm wondering if somewhere down the line his records got associated with one of these Denney men. Not much help here, and you've probably already been over this ground. Maybe there is a missing piece that will show up.