I know this is an old post, but I just recently came across a Jesse McCray who purchased land in Henry County, Indiana on 2 Apr 1835. This information was contained in the History of Henry County. My 3rd Great Grandfather was Elijah McCray (Born 1800 in Ohio), who also purchased land in Henry County 15 Nov 1830. I'm wondering if they could be brothers and both the sons of Shaphet McCray who was one of the earliest land owners in the early 1820's in Henry County, IN. I also found Shaphet in Butler Co. Ohio on a 1807 census of that county. I know he also lived in Bourbon County, Kentucky and was married there.
Did you ever find further information?