Just to clarify a little - To my knowledge old church records have not been centralized in the diocesan archives in Madison. However, I'm having a hard time trying to figure out which church the records would be at for a marriage at "Sinsinawa Mound." There was originally a Catholic college there, but it was sold several years before your ancestors' marriage:
https://en.wikipedia.org/wiki/Sinsinawa_Mound_College
There has long been a Dominican convent in Sinsinawa, but it wasn't started until 1864:
https://en.wikipedia.org/wiki/Sinsinawa,_Wisconsin
And I don't think there's any independent Catholic church in Sinsinawa. So the question for the diocesan archivist would be where to find a church record of an 1859 marriage at "Sinsinawa Mound."