There is no record of her dieing in Shelby county. A very good online database is here:
http://register.shelby.tn.us/Joseph Henry seems to have left Shelby county between 1860 and 1880. I can't find him in 1870. She could have died elsewhere.
You could call Elmwood and Calvary Cemetery to see if she's in their records. Calvary is the catholic cemetery, but there are many catholics in Elmwood and it's older. There are also funeral home records at the main Memphis library.