I searched the Irish Family History Foundation's database. It contains 11,500,000 surviving rcds for abt 60% of Irish counties. Roscommon (or major parts) are in it. Many parishes are listed as not having digitized rcds. Rcds B4 1840 are sparse in any event. The probability of your Conboys' rcds being in the database are likely 40%.
For Winifred Conboy (+variants) B ????, I found 0 B rcds in Roscommon prior to 1850, but 2 later in the cent. The forename is rare in Ireland. It MAY have been perpetuated by her siblings.
For Thomas Conboy (+variants), I found 1 marriage rcd in 1831 in Athleague parish. There are no earlier M rcds and the subsequent one in 1857, is too late. A view of the detailed rcd SHOULD show the spouse's name and sometimes parents names, etc. If either the mother of the bride orthe groom had a Winifred forename, this would be a clincher.
Assuming Thomas Conboy stayed in Athleague after marriage, some of his potential offspring's names are: Julia, Ann, Thomas, Bridget, Celia, and Margaret.
For the omitted parishes, e-mail email@example.com with your questions. To browse this database, google the Foundation's name to lead you to it.