It depends what information you have already... Have you found a family in Bury in the 1841 census? If so, as you said it's likely they were born there, but they may not have been.
What resources have you used when looking for baptisms? Maybe the parish where your ancesters were baptised hasn't been transcribed yet. There are transcribed records for Bury on Ancestry if you have a subscription.
Also, there may have been some spelling changes along the way. I have some relatives with the surname Lowe, which was occasionally spelled as Low in earlier records, probably when the vicar guessed at a spelling because the family didn't know themselves! Also if you're searching online, consider different spellings of the parents' names, particularly abbreviations (Wm for William, etc.).
