Jefferson County Indiana's birth and death records start in 1882. They should have a copy of her death certificate, www.jeffersoncoinhealthdept.com/gen.html. IF the Informant knew her parents' names, they will appear on the death certificate.
Maybe her parents' names were in her obituary. You can order a copy of her obituary from the Jefferson County Historical Society, www.jchshc.org/research but they won't be open until March 4, 2014.
You can ask for a copy of John McMillen's will. Her daughter should be named in his will. You can contact the Jefferson County Court Clerk.
Did Mary get married? Do you know when and where? Maybe her parents will be on her marriage license/certificate.
Now we're back to her birth certificate. Obviously her parents will be on it but you didn't say where she was born. Successful Searching!