St. Helena became a Crown Colony in 1834. This would have put it under the jurisdiction of the Colonial Office. The Colonial Office was merged with the Foreign Office, about 1960s I think, and became the Foreign and Commonwealth Office. They have recently dissolved the Foreign and Commonwealth Office Library which held all the records and dispersed their collections to several locations. However they have a residual unit which would probably point you in the right direction. In addition there is a full list of what went where - so google up Foreign and Commonwealth Office Library, lots of information. Think this would be your best bet.