The marriage certificate tells you that both William & Sarah lived on one of the Copeland Islands, 2 or 3 miles off Donaghadee. Both their fathers were farmers.
https://civilrecords.irishgenealogy.ie/churchrecords/images/marriage_returns/marriages_1868/11446/8204810.pdf
There are 3 islands in the Copelands. One had a lighthouse on it, another was mostly uninhabited and nowadays just has a bird observatory, and the third (where your families lived) had a small number of farms. William was a school teacher, presumably at the island school. Still living on the island when Mary Jane was born:
https://civilrecords.irishgenealogy.ie/churchrecords/images/birth_returns/births_1868/03446/2265274.pdf
Population in 1901 was 41, in 5 households (3 of which were Cleggs). No McNeills. Griffiths Valuation for 1863 doesn’t list any McNeills on Copeland. My guess would be that the Cleggs were native to Copeland but William’s presence was because he had got a job there as the island's teacher. So his father probably lived somewhere on the mainland. And might be hard to locate without further information.
http://www.census.nationalarchives.ie/pages/1901/Down/Bangor/Copeland_Island/
Just 3 families on the island in 1911. Eventually all the remaining residents left. There are still inhabitable houses on Copeland but I think most are either holiday homes or just used periodically by owners on the mainland. Access is usually from Donaghadee but there’s no regular ferry, so you need to find a boatman to take you across. (Ards Visitor centre tel: +44 28 91826846 may be able to help with boat trips).
Sarah’s father Henry Clegg is listed in Griffiths Valuation. He had plot 4 which was 50 acres. The buildings are still there, judging by Google Earth. If inhabitable, I am fairly sure they will be just used seasonally, perhaps as a holiday home.
http://www.askaboutireland.ie/griffith-valuation/index.xml?action=nameSearch
A death here for Henry Clegg on Copeland in 1884 aged 88:
https://civilrecords.irishgenealogy.ie/churchrecords/images/deaths_returns/deaths_1884/06318/4812012.pdf
Probate abstract:
The Will of Henry Clegg late of Copeland Island County Down Farmer who died 7 July 1884 at same place was proved at Belfast by James Wallace of Donaghadee in said County Draper one of the Executors.
The will itself is on-line on the PRONI site. It mentions wife Jane, 2 sons Richard & David who were to inherit the farm, son Henry in Australia, daughter Sarah McNeill and daughter Mary Ann Robinson. This looks to be Mary Ann’s marriage in 1852:
https://civilrecords.irishgenealogy.ie/churchrecords/images/marriage_re…
There’s an article on life on the Copeland islands in the Ulster Journal of Archaeology Vol 57, 1994, (subscription) which mentions the school in 1861 as being “20 foot by 16, slated, plastered inside and dashed outside”. There is a graveyard on the main island, and there are Clegg graves there. Population of that island in 1841 was 31. It rose to a peak of 46 in 1881. In 1911, it was 25, 1926, 19, 1931, 6 and 1951 1 (though the article also says that no-one lived there in the 1940s, so the 1 was presumably an incomer). The school had closed by 1911.
The article indicates the Cleggs, Emersons & Wrights appear to have arrived on the island in the mid 1700s (replacing 4 families who left). It says: “The families all intermarried, in a way typical of small island societies elsewhere but lived more in amity than many.”
All the islanders were Presbyterian which, in conjunction with living in Co Down, usually points to Scottish origins (Half the population of Co. Down have the same origins).
PRONI have a file on the Copeland island school (ED/1//17/105) which is on-line on the PRONI website, and gives a very detailed description in 1861. For example, the teacher’s salary then was £10 pa and he slept in the school classroom which had a bare earth floor.
PRONI has transcriptions of the gravestones on Copeland for the Agnew, Emmerson, Clegg & Palmer families (File T1693/1.). A personal visit is required to view them or you could pay PRONI or a researcher to copy them for you.
With regard to photographs of the Clegg family, obviously they are long gone from the island but there might be some in books on the island or in other material in Bangor library, especially if they have a local studies section:
https://www.librariesni.org.uk/libraries/county-down/bangor-carnegie-library/
As far as finding William’s parents, you would need to try and find something more about him from US sources. The 1868 marriage certificate tells us John McNeill was a farmer, plus we know he didn’t live on the Copeland Islands. However without knowing roughly where he came from there’s no way of finding him that I can think of. Plus it's a very common name. The tithe applotment records c 1830 list most farmers in Ireland at that time. There were over 50 John McNeills farming in the counties of what is now Northern Ireland (William’s more likely area of origin). The 1901 Irish census has over 400 people named John McNeil/l then. The name would have been equally common in the 1830s, if not more so as the population was significantly greater.
The Islands have a Facebook page which contain some photos you might find interesting:
https://www.facebook.com/coplelandisland
