I'm afraid no site has complete coverage of Somerset parish registers. I believe FreeREG has the best overall, and is particularly good in the Frome/Shepton Mallet area. FindMyPast has good coverage of marriages but very few baptisms. For pre-1754 marriages it may have a wider spread than FreeREG. Ancestry and Familysearch have long been relatively poor, but they are always adding material.
Also, there is always a chance your Jonathan's baptism was not recorded or the record has not survived. Many earlier registers are completely lost. Surviving ones may have gaps where a particular parson neglected his duty or damaged parts which are illegible.
There appear to have been several Colston families baptising children in Shepton around the 1740s, so I think it more likely that Jonathan was local rather than came from Lancashire. Maybe he was baptised in a nearby village whose registers are not online yet, or maybe he just wasn't baptised or it was not recorded or the record hasn't survived... or only partially survived: FreeREG has a Jonathan son of Jonathan with an illegible surname baptised 1 Sep 1750. If you can get to the Somerset RO that would be worth checking. The microfilm there will probably be clearer than the microfiche the FreeREG transcriber worked from. If it's still not clear they may let you look at the original.
One further small possibility: there was a Jonathan baptised at Shepton in 1740, the illegitimate son of Amy Dyer. Perhaps his father was a Colston? (There was also another illegitimate Jonathan in 1755, son of Sarah Coles, but that's a bit young to marry in 1769).
David
