I do not have a marriage record for WF Pegg and Mary Margaret Young, but I also suspect that she was Catholic.One reason I suspect this is based on the following:
William J. Pegg was a witness at the marriage of Elizabeth Young, dt. of William Young, in 1890 at St. John's Roman Catholic Church in Newmarket.William's mother, Mary Margaret Young, might have been the dt of William Young who was married to Elizabeth McQuillian in the Rpman Catholic Mission in Newmarket.(McQuillians were related to the Fox family, who were also Catholic).
The children of WF and Mary Margaret Young Pegg appear to have been raised Methodist, but I think son Elias H. Pegg was Quaker (so he states in the 1881 census for Ontario).
I wish I could be of more help.It would help if we could find them in the 1881 census, but I haven't had any luck there.