as far as i know william henry was born in ireland??
When is the first instance you've found William Henry in Scotland? his marriage 1912? 1901 census? etc.
There doesn't seem to be a marriage for a Jane Delmore in Irish civil records (Catholic marriages from 1864, other marriages from 1845) so the possibilites are:
1) marriage took place outside Ireland
2) it was a Catholic marriage which took place before 1864
3) it was a non-Catholic marriage before 1845
4) Jane's name wasn't Delmore at the time of the marriage
5) Jane's surname is mis-indexed
6) Jane wasn't married
So, do you know what religion the family would have been?