Ok, thanks for the clarification....I searched again and the only one which seems to come close is a John KELLEY, who first had a singular land petition for land at York county, NB in 1784.
http://archives.gnb.ca/Search/RS108/Details.aspx?culture=en-...The next record is a land grant for a John KELLEY, dated 1797 in Charlotte county, with many other petitioners listed (this was a common occurrence).
http://archives.gnb.ca/Search/RS686/Details.aspx?culture=en-...I also checked my Loyalists of NB and Old North Esk and found nothing in either that would provide more information.
It was not that uncommon for families, or members of families to later relocate back to the US, so your James might had been born in NY with the parents born or had lived for a time in NB. It would probably take a much more in depth search to find more on them, however. Most counties in NB have marriage records going back to at least the 1820s or so, though many Catholic ones are kept separate, which are available here on Ancestry.com