Elizabeth, I would think you can try to see where the wills are kept in Amite County in Mississippi. In file 190 page 393 the McCloy's were mentioned. All I had was a copy of the page of the file which had the below. You might want to search Amite County through rootsweb.com and see if there are substantial McCloy surnames.
Sorry I can't help you any further.
P. 393 file 190 -- Amite County Mary Thompson of Amite County, Miss. Will - my beloved grandchildren and children of my beloved son Reverius McCloy and Priscilla his wife and to their daughter Mary McCloy, Also to my beloved grandchildren and children of Phillip Quigley and Mary his wife and to my beloved granddaughter Catherine Quigley and my wench Tempy to live with either my son Reverius McCloy or Phillip Quigley as she may choose or see proper to do. My land, houses and improvements whereon my son Reverius McCloy at present resides, to my beloved gradson Alexender McCloy. I appoint Phillip Quigley and Reverius McCloy........