There are a number of potential births showing for a Robert McKay in the early 1790s throughout Scotland, David. It may also be that his birth/christening entry doesn't show on the old Parish Registers. Only around a third of births or christenings were registered in the period before 1855.
We don't really have any more details than that so far, do we?
Hard to follow through further on Robert at this stage unless something new comes along. This is one of the reasons I asked whether you had checked the OPR entry for the marriage. Sometimes if the groom was still in the army at the time of the marriage, a mention of the regiment might be included which then lets you try to find some military papers...which then sometimes, if to be found, might include a place of birth...
Monica
