Have you checked this online site?

http://pentecost.org/scarboroughpentecost2/fam00667.htm

It says James W. Pentecost was the son of Fielding Archer Pentecost and Morrah T. Meyers, and that James died in St. Clair County, IL. Maybe that's why you can't find a MO death certificate for him.

Hope this gives you another clue at least.