Baptismal records for the Church of Ireland parish of Killaghtee start in 1868. Civil registration of births started in 1864.
I located two civil birth records for children of Thomas Shannon and Jane Lochard. Possibly there were children in 1861-1863 but no records are available.
See sixth record for Thomas https://civilrecords.irishgenealogy.ie/churchrecords/images/birth_return...
See fourth record for May Jane https://civilrecords.irishgenealogy.ie/churchrecords/images/birth_return...
From the records, the family was living in Drumconor townland in Inver civil parish. Inver is the parish to the east from Killaghtee.
The Castlefinn on the 1860 marriage record must be a local place name since it does not show up on the official townland listing.
I looked at the 1857 Griffiths Valuation head of household listing for Co. Donegal. Did not find a Lochard record but did locate a James Shannon in Inver Glebe townland in Inver cicil parish possibly the father of Thomas.
I searched the subscription site Roots Ireland and did not locate any marriages records for the parents of Thomas and Mary Jane.
I assume Thomas and Mary Jane emigrated?