Hi Cynfran,
Glad you found your notifications.
I think that entry for Kezia is all there is because she was an adult bringing herself for baptism. Those FreeReg entries are usually complete, but of course get a look at it to convince yourself.
Do you have reason to believe Kezia was his daughter? I did not find anything further on her.
I am afraid I am not all that convinced with this possible marriage at this stage. After looking about today I found the chap you were after was a surgeon. You will need to see the marriage entries for signatures but I note the marriage to Jane was by licence.
Marriage Licence Allegation John
GRAY of Walcot Bath co Somerset, surgeon 35 widowed = Jane
GOVER of St Thomas Winchester, 26 spinster at St Thomas Winchester 6 Dec 1805 Bondsman - William GOVER of St Thomas Builder
I would expect that. Upper class people often marry by Licence as it is a symbol of their status in the community. (and they could afford the licence) This Bath marriage is by Banns.
Not saying he couldn't marry by banns but I would be inclined to think surgeon would have been included in the entry. I would certainly want to get a look at it. Maybe it is there - I have only seen a transcript. I would have liked to find Jesse or Kezia later on but alas I have not spotted either of them. (or the parents)
I see John and Jane's childrens baptisms appear in the BMD Register, but alas they wont help with this previous marriage.
http://www.bmdregisters.co.uk/Jesse also so you could purchase copies if you wish
Cheers Kris