Agnes Winning Caldwell born on 22 November 1904, a few months after the marriage of her parents, John Stevenson Caldwell, a spirit salesman, and Nellie McMillan.
You have confirmed that Margaret McMillan and Nellie were sisters. You have followed up on Nellie and her family from her marriage to John Caldwell. No trace of Agnes with them. I note that Nellie also called one of her sons Andrew Sloss Caldwell, b. 1909 in Glasgow.
You have good details on Agnes's early years with her aunt Margaret McMillan and husband Andrew Sloss who raised her.
From the 1921 census and Agnes with the Sloss family, you jump to Isabel Sloss's birth in Campsie in 1935 at the home of Margaret Sloss, Agnes's adotive mother and aunt.
You have confirmed that Isabel Sloss is your aunt. Her mother, on her birth registration, is given as Agnes Winning Sloss which is a perfect fit with the back story for Agnes.
It has been a hard search, reading through the other main long thread. But I do think you have put the pieces together. I suppose the perfect confirmation would be a DNA link to the McMillan family, with threads to the Sloss and Caldwell family groups. But these may not be available to you.
I think Agnes gave a mix of information when she married William McKelvie in 1938 which is a pity and has hampered your searches. Why she went by the maiden name of Morrison is anyone's guess at this time. The fact that her children knew of her link to the surname Sloss is certainly helpful. Why she started to use Ann, a variant of Agnes as you know, in her later years, again would just be guesses for now.
Monica