Their marriage is not listed in Scotlands People, so they were possibly married in England.
The OPR normally lists mother's maiden name rather than married name, which is very helpful.
If a child is born out of wedlock, it is called 'natural' son or daughter, with very often both parents listed.
On the night of June 6,1841, listed as living at Blaecraiggs 2 in the Parish of Canonbie Census:
Margaret Mouncy, aged 5
Ann Armstrong, no occupation, aged 30, who must be Ann's mother
Jane Armstrong, agricultural labourer, aged 40
James Armstrong, agricultural labourer, aged 80
Note that the census enumerators were instructed to round down ages to the nearest five on the 1841 Census for anyone over the age of 15.
The above gives us a clue to Ann's family. It would seem likely that Ann was looking after her aging father, who appears to have been widowed, while Lancelot might have had to seek work elsewhere.
I looked for Ann's birth elsewhere in Scotland than Canonbie, as she is not listed in the OPR there. I found an Ann Armstrong born 27 Oct 1808, chr 6 Nov 1808 Dalkeith, Midlothian, Scotland, daughter of James Armstrong and Mary Clemison. This is the only one listed with a father named James.
However, given the above listed age, if accurate, Ann may have been born in 1806 to as early as 1801. Not all births were listed in the OPR, of course. And she could have been born in England.
Hope this helps a little bit.