Sorry I haven't got any direct connections to Coventry or Nuneaton. My lot was Derbyshire (Mickleover, Littleover, Brailsford, Tissington, Ashbourne)until 1820-ish when Aaron Pegg moved over to Birmingham and married Ruth Lee (coincidently born Coventry 1802) in 1837. Following that we had 2-3 generations in Birmingaham then a bit of the US then back to Leicester via Birmingham.
I seem to remember Ian Stanley is researching some Peggs in Bedworth which isn't too far from Coventry. There's a link to his page at www.the-peggs.com
Good luck I'll post anything I find out in the future regarding Coventry.