Well.
That 1861 census transcription I quoted was actually 1851.
In 1861, in Peterhead, are John Hendry, 66, former shipmaster and army pensioner, born Banff; wife Agnes, aged 80, born England.
In 1851, she's Agnes Hendry, shipmaster's wife, 68, born Banffshire, Banff, on her own in the household so presumably John was absent at sea.
In 1841 she is Agnes Henry, 55, independent, born England, in the household of Barbara Butters, seaman's wife, born Aberdeenshire. I wondered if Barbara might be a daughter, but I think her maiden surname was King.
So two out of three censuses say that Agnes was born in England. It is quite possible that her parents were from Banff, and that she was born while they were following the herring fishing , in which case you'd be looking for a record of baptism in a fishing port somewhere on the east coast of England. That's not likely to be easy because if her parents were Scots, they probably belonged to the Church of Scotland and would not have had her baptised in a Church of England.
But I could be havering (that's a Scots word that means talking nonsense; it does not mean something between hesitating and wavering).
Either way, she wasn't born in Keith or in Forgue.
From the 1841, she would have been born between 1781 and 1786
From the 1851, 1782 -1783
From the 1861, 1780 -1781
From her age at death, 1773 -1774, but that is incompatible with James Theodore's probable date of birth.