I found very little on Henry but I did find info about Cordelia and the Daniels family.
In 1900 Cordelia's future husband Dorsey and his family were living in Township 16, Creek Nation, Indian Territory [OK]
Dorsey Daniels, b. AR April 1862, Widower, 38 farmer
Thomas D., b. AR May 1887.
William D., b. AR April 1889.
Albert D., b. AR, June 1894.
Elizabeth C., b. OK Dec 1897.
Howard C., b. OK, June 1899.
In 1910 Darsey/Dorsey, Cordia and family were living in Porter, Wagoner, OK.
Darsey Daniels, b. AR, 48, M2=5 yrs, general farmer.
Cordia, wife, b. USA, 29, had given birth to four children but only three alive, farm laborer home farm.
Thomas, b. AR, 23, single, farm laborer home farm.
Lizzey, b. OK, 13.
Howard, b. OK, 11, farm laborer home farm.
Buster, b. OK, 4.
Ruth, b. OK, 2.
Henry Davis, stepson, b. OK, 7.
I'd look for Cordelia and Darsey/Dorsey marriage license in Wagoner County, OK at the Clerk/Recorder's office.
In 1920 the Daniels family were living in Moore, Muskogee, Oklahoma.
Dorrey Daniels, widower, b. AR, 57, farmer.
Lizzie Bates, dau, married, b. OK, 23.
Buster Daniels, b. OK, 14.
Ruth, b. OK, 12.
Frank, b. OK, 9.
Earl, b. OK, 6.
Delsie, dau, b. OK, 4.
Fred, b. OK, 2.
I'd look for Cordie/Cordelia's death certificate in Muskogee County, OK Clerk/Recorder's office.
Then I'd pursue her obituary in the same area by doing a Google search on Muskogee County Oklahoma Obituaries.
Obviously by this time, Henry was off doing his own thing.
Sorry I couldn't find more about Henry but maybe his Mom's obituary will provide a clue about where he was living in 1920. Successful Searching!