There is a good posibility that he was buried immediately and probably is buried in a common graveyard with all the other prisoners that died on the ship or ships that docked there.

Had his wife buried him, he would be in a church graveyard in one of those counties you mentioned. I would think it would be easier to find her and work from there. Find out what town and county she was living in as a widow and look in that town. Heck, there might even be relatives that know the whole story living in the same area.