Primary documentation indicates that the Mary Kavanaugh who married Samuel Sheppard of Gloucester Co., VA was NOT the daughter of Philemon Cavanaugh Sr.
On his birthday, 3 Feb 1792, Samuel Sheppard wrote a letter to his children, detailing his family history. He stated that he was born 3 Feb 1730 to Samuel Sheppard and Miss Mary Kavanaugh. Mary Kavanaugh was born in France. His mother's parents were Michael Kavanaugh and Mademoiselle Berthe Dumas. His maternal grandparents were James Kavanaugh and Senorita Dolores Campomanes. Samuel Sheppard Jr. married Anne Burwell.
This letter was published in The William and Mary Quarterly, 2nd ser., vol. 7, no. 3 (July 1927), pp. 174-180.