Unfortunately, Co. Donegal is the most difficult county to find pre-1850 RC church records. You will not find any baptismal records for you McBrady/Brady family. Killybegs records for baptisms start in 1850 https://registers.nli.ie/parishes/1019
This link https://www.johngrenham.com/records/lewis.php?civilparishid=772&civilpar... provides an 1837 snapshot of the parish ogf Killaghtee. It is written from the perspective of the Church of Ireland activities but there is a mention of a church being built in Killybegs. My guess is that there was a chapel of some form in Killybegs and likely the marriage and baptisms occurred there (or the priest came to their dwelling for the baptisms).
Let me know if you have any questions.