Very odd. . .I found them in the 1930 Census and assume you have too, but no luck for 1940.

Do you have any other source with an exact address for them in 1939 or 1940? For example, the public library might have old street or telephone directories. Or the 1939 birth certificate for the youngest son might give you an address where they were living. Then you could use an index to find the correct ennumeration district and scroll through until you found that house number.