Sorry if I may be telling you something you already know, but there are many Indians who are not on the rolls. Some were suspicious and didn't want to be. One possibility is this: If your ancestor applied for tribal membership and was rejected, there should still be a record of his testimony before the Dawes Commission. If that's the case, his file would have an "R" (rejected) in front of the number. Have you contacted the Oklahoma Historical Society for help? Any individual who is not on the rolls might have an R file, which can be a rich source of information.
My great-grandfather, who lived in Jack County before moving to Oklahoma, applied for membership in the Choctaw Tribe. His application was rejected, but there's still a transcript of his testimony on record. I was lucky enough to find his file number online. Even though he could trace his lineage back to a Choctaw chief and had numerous Choctaws testify in his behalf, he was rejected because his ancestors were not on the 1830 Choctaw rolls. Therefore, he was not on the Dawes Commission rolls.
Hope this helps some.