Cassidy Ancestors

Hello from Oklahoma, USA. I am searching for information on my GGGrandfather Henry Cassidy and his parents. Henry (midnm maybe James) Cassidy was born in Mayo County, Ireland  about 1799 according to his burial obituary from Minnesota. His US Federal Census dates are 1800 - 1805, Ireland. He was married at St. Michel, Sherbrooke, Quebec, Canada in 1842 to Allice Lilly from County Fermanagh. His Parents' names are given as Patrick Cassidy and Eleanor/Ellen Graham/Grimes. They were probably born in the 1780s but not necessarily in Co. Mayo. I'm not sure how long they resided in that County.  He had a brother Patrick Cassidy (not sure if older or younger) probably also born in Mayo Co. and married in 1840 in Quebec to Bridget Dempsey. Henry also had a daughter/sister/neice named Frances born in Ireland (possibly Mayo Co.) in 1822. She lived with him in Wisconsin and Minnesota as an unmarried lady until they died. Don't know if Patrick and Eleanor/Ellen Cassidy went to Canada or stayed in Co. Mayo, Ireland, but if they all left together it was most likely after 1822 and before 1840.  Any birth, marriage or emmigration information on this family would be greatly appreciated. Happy to answer any questions on this family-Thank you-Cathycelt