Marriages were only entered into the statutory records from 1845 onwards. Prior to that you need to search the church records. Not all have survived and of those that have, not all are on-line. You could try the Ulster Historical Foundation or Rootsireland sites (pay to view/subscription) to see if they have any records for this area. But many church records in this part of Ireland are not on-line at all.
Tradition was to marry in the bride’s church after which she’d normally attend her husband’s. So Rose McNeill, the second wife, might not have been a Presbyterian, nor been from the same church as Hugh. However, as a farmer, Hugh could not travel very far, and so he’s likely to have chosen a local wife.
Ballintoy Church of Ireland has no marriage records before 1845. Dunseverick Church of Ireland has marriages from 1833 onwards (copy in PRONI). Croaghmore Presbyterian has none before 1845. Toberkeigh Presbyterian has marriages from 1830 (copy in PRONI). There are no RC marriage records before 1864.
Looking at the 1803 census of Ballintoy (on Bill McAfee’s site: http://billmacafee.com) the majority of McNeills in the area were Presbyterian, followed by a fair number of Church of Ireland, plus 1 RC. (The 1 RC looks to be a lady who married a protestant family but kept her original denomination). So the choices seem to be Presbyterian or COI.
The general historical background for your ancestors is that they are probably descended from tenants of the McDonalds of Islay, who settled in the north Antrim coast area in the 1600s. They probably came across from Islay, Jura or Kintyre, or that general area, all being part of the McDonald/McDonnell estates in Scotland at that time.
Regarding accessing PRONI’s records, you either have to get a researcher to go and look them up for you, or you can pay PRONI to do it, but their charges are pretty hefty and a researcher could be cheaper. PRONI will generally only do simple look ups. So, for example, if you think that someone married at a given church around 1829- 1836, they will probably do that search. But they won’t do trawling searches eg all the churches in a specified area for all McKeesick marriages 1800 – 1850. That sort of thing. You have to pay in advance with PRONI too. (They’ll tell you the cost after they have assessed the initial enquiry).