There is this Henry Mills showing on the 1891 census.
RG12 2472 folio 83
College Buildings No 6 Queen Street Leamington Warwickshire
Lucy Mills 60Leamington, Warwickshire, Head Widow Laundress
Lucy Mills 23 Leamington, Warwickshire, Daughter Single Laundress
George Mills 20 Leamington, Warwickshire, Son Single Bricklayer's Labourer
Henry Mills 8 Leamington, Warwickshire, Grandson
1881 census RG11 3093 folio 95
25 Queen St, Leamington Priors, Warwickshire
Henry Mills 59 Leamington, Warwickshire, Head Married Brewer
Lucy Mills 49 Leamington, Warwickshire, Wife Married
Lucy Mills 14 Leamington, Warwickshire, Daughter
George F. Mills 10 Leamington, Warwickshire, Son
I've tracked the family on earlier censuses and they had no son (surviving at least) called Henry.
However it is not unusual for illegitimate people to put their nearest known male relative in the place of their father on marriage certificates. Generally if they don't have to, illegitimate people on marriage claim they are legitimate by having a father with the same surname as their own on their marriage certificate.
If you are sure Henry who married in 1914 was born Warwickshire then this Henry on the 1891 census seems the most likely candidate.
1901 census RG13 2931 folio 77
156 Parade Leamington Priors Warwickshire
Henry Mills 18 Leamington, Warwickshire, Servant Draper's porter
Regards
Valda