Glad you were able to find the graves.
Ancestry's parish records collections are patchy, and don't cover all places at all times, especially not in Lancashire. As James and Hannah's marriage was before 1837 and the start of the civil registration indexes, it isn't surprising that you haven't found it there.
The same applies to finding a birth record for Hannah, with the added complication that she would have been baptised as a Roman Catholic, and fewer RC records are available to view online than CofE.
The reason that James and Hannah married in the CofE church although they had an RC ceremony at Sunnyside was that at this time only the CofE marriage was legally valid. This is why it is often the case that you can find a marriage record online for Roman Catholics, but no baptisms.
Going by the web page about Roman Catholic worship at Sunnyside, it looks as though Hannah might have been baptised at Townley Hall, as the nearest RC place of worship at the time she was born.
Preston Records Office have baptism records for Townley Hall Chapel from 1820 (a bit late, though) and Burnley Library has some much earlier baptsim records - but I don't know about the records for c1813.
However Burnley Library also has records of the 1820 congregation with names, ages and addresses, which might be helpful.
A possible marriage of James Thornton's parents is on the IGI:
http://www.rootschat.com/links/0bq/ Thomas Thornton and Ellen Rainford at St John, Preston 18 November 1794