Keep in mind if you are looking for the record on Ancestry.com the marriage databases do not include every single marriage within the United States.
If you know the details of when and where they were married you can order a copy of their marriage record from the county in which they were married.
Since you have found your maternal grandfather on the 1940 census you should have found his wife (your maternal grandmother) and their children. Their places of birth should also be listed.
If you are using the New Search function to search records for Ancestry.com I suggest you switch to the Old Search. You can find this by choosing Search All Records under the Search Tab. At the right hand side of the page under Gift Memberships there should be in small print: Go To Old Search. This search function will help narrow results.
Also, check with your local library or historical/genealogical society. The local library usually subscribes to the Library version of Ancestry.com. Many libraries have a day or evening when local volunteers are available to help genealogical researchers and sometimes librarians are also able to help. If you check with your local historical/genealogical societies you may find they offer sessions for those new to genealogical research.
Another good source for help are the Family History Centers which can be found here:https://familysearch.org/locations
They have volunteers on staff who can help you find more on your family.
I think you would benefit from these free resources and in the process learn more about your family. Best of luck to you.