James wasn't Seventh Day Adventist. He was a member of the church of Jesus Christ of Latter Day Saints, the Mormons, head office Salt Lake City, Utah, USA, and he was doubtless a member of the church before he emigrated to Utah.
Your Tingey Sabey b 1795 was the son of Tingey b 1764 in Northill, who was the son of John Sabey b 1715 in Colmworth, who was the son of Joseph by his second wife Katherine Berry. Joseph was my 7xg grandfather via his son Luke from Joseph's first marriage, who moved to Southill, along with his brother Joseph. In a different line I also have a 5xg grandfather James Sabey in nearby Henlow c 1740, but I haven't traced where he was from. I suspect he's connected to the Colmworth family, but that's idle speculation.