let me quote from the family history written by J. Melville Warwick: John Colbrook Bury told his son Edward Bury of Morpeth, Ontario, Canada that his father was Major William Bury of the British Army.......and that he himself was born at 52 Cheapside, London, England at 4am on March 6th, 1764. He has 2 older brothers: George and Richard, he latter dying yong, and a sister Harriet. George Bury was still living in the 1850's , age 96. At that time he was Capt George Bury (retired) British Army and was living on the Island of Cyprus. Harriet Bury was in the 1850's living in Wales at the age of 92. Her married name was Archer. Central registration of Births, Marriage and Deather's in England did not begin until 1836. Etc....
I have later info on the family.
John Colbrook Bury married Dorothy Sherwood 1788. the rest of their children I mentioned in one of my replies to you (bury like fury)