You would probably save a lot of time by trying to get copies of their death certificates. Since they lived in Pittsburgh, you should be able to get a death certificate either from the county (if the death occurred before 1906) or from the state (if the death occurred from 1906 on). For your g.grandfather, you may need to order from one and then the other if the first one doesn't have find it, since you aren't sure whether he died before or after 1906.
I'm not sure whether the county will do a multi-year search, but you can contact them to find out more. This is the contact info for both county and state:
Allegheny County Register of Wills
City-County Bldg., 1st Flr.
414 Grant St.
Pittsburgh, PA 15219
412-350-4180
www.county.allegheny.pa.us/regwills/cert.aspPA Dept. of Health
Division of Vital Records
P.O. Box 1528
New Castle, PA 16101
724-656-3100
www.dsf.health.state.pa.us/health/site