Welecome to Ireland Reaching Out!
Civil registration of births started in 1864 in Ireland. I was unable to locate a marriage record for James McKee and Margaret Callaghan but I did locate civil birth records for three siblings to Edward.
The family lived in the Frenchpark area. The place name was shown as Cortoon or Corthoon which is not an offical townland but likely a local name. The RC records for Frenchpark do not start until 1865 so likely Edward was born 1863 or earlier which means there is no civil record or church record available. The other possibility is that he was born John or James and chose to use Edward in America.
I also looked at the 1901 census and I think I located in Cartron Beg townland http://www.census.nationalarchives.ie/pages/1901/Roscommon/Frenchpark/Cartronbeg/1667018/ This reocrd indicates she was married and born in Co. Mayo. I will do some additional research and get back to you.
John sixth record on page https://civilrecords.irishgenealogy.ie/churchrecords/images/birth_returns/births_1867/03461/2270734.pdf
Anne sixth record on page https://civilrecords.irishgenealogy.ie/churchrecords/images/birth_returns/births_1869/03404/2248285.pdf
James ninth record on page https://civilrecords.irishgenealogy.ie/churchrecords/images/birth_returns/births_1870/03318/2215972.pdf