McHenry family in Sangamon county, IL
In the 1876 History of Sangamon County, IL by John Powers we find the following McHenry family members

Elizabeth --married Matthias Yoakum
Catharine --married
Hiram Penny
   **he is listed as an early settler in Powers book. He is buried in
Richland Baptist Church Cemetery. Other Penny's buried there include his father William Penny, a Revolutionary War soldier.
Henry
Martin
Frances --married Uriel Greene/Alexander McMurphy/ Jesse Whitlow

Her father Joseph was listed as an
early settler of Sangamon County.

Although not included on the list of siblings in the Powers book, I tentatively suggest that Catharine is also one of the children of Joseph. Though mainly conjecture at this point, my reasoning follows:
   In the Powers book it states that there was one child of Joseph's that was '
left married in Kentucky.'  This is the case with Catharine, who married Hiram Penny in Kentucky, right across from where the Primm family lived in Illinois.
1. The Catharine in the same time, place and location--at a very early point in time--as Elizabeth and her known siblings.
Catharine Powers named her daughter Elizabeth
Elizabeth McHenry named her daughter Catharine.
                (* this spelling unusual for the day and time- but consistently spelled in several different records..)
MCHenry deaths in Sangamon/Menard counties