The 1900 census of Punxsutawney shows Sadie C. Henry as born June 2, 1865 in Pennsylvania (the enumerator provided the exact date of birth which is unusual). The 1910 and 1920 censuses show her also born in Pennsylvania as well as her parents. They do show William's mother as born in Ireland.
I suggest getting her death certificate which the PA Dept of Health would have assuming she died in PA. Her obituary may also have who her parents were. William and Sadie probably got their marriage license at the Register of Wills in whichever county either one was living in at the time. Be sure to ask for a copy of the application as it will have the most data including possibly on her parents. The church she was a member of may have useful data in their records.
Check with the Punxsutawney Area Historical and Genealogical Society and the Jefferson County Historical Society to see if they can help you.
Keep in mind that Sadie was sometimes used interchangeably with Sarah.