Do you live near a Family History Center (Mormon) Library? There is one in nearly every large or medium-sized city. They can help you figure out how to order the right microfilm for the St. Johns Anglican Church registers. I would look there for the marriage of your great-grandparents. You will need to look backwards from 1901. They may have married a long time before their children were born. Also check the baptism register for siblings, as they may have more details in their record. Next, check the Danish West Indies censuses. They are here: http://www.ddd.dda.dk/soeg_stcroix.html
Also check the Ellis Island emigration records at http://ellisisland.org/
You could also check the phone book in Christiansted for any Wendells and ask them. That might help. And, of course, you can write to the church.
You may wish to join Ancestry.com for a trial subscription. There is in the Danish census St. Croix 1890, image 584, apparently a Christian Wendell and also a Josephine Gilbert who seem to be living in the same house, but the image appears to be wrong on the actual microfilm. (This is from Ancestry). So you may have to rent that census microfilm from the Family History Library or go to the National Archives in Washington, DC to view it. This census can also be view at the Danish archive site.
Hope this helps. Happy hunting.