I find your posting very interesting.I have a Jane McLellan (b. 1825) with brother John McLellan (b. Aug. 15, 1819.They had a sister, Anne McLellan (b. July 23, 1821) in Lochiel, Glengarry, Ontario.
Parents were Norman McLellan and Jane Hay.
I am not sure that this is your Anne, but the name is right, the place is right, and the birth is within 8 years.Anne seems to have disappeared, but if she died in childbirth in 1861 as you claim, that would explain things.
Oh, you mention children Mary, James and John.These are also the names of Jane Hay's siblings.