Milford was not a parish in its own right until the end of the 19th century, although it had a chapel of rest which would later become St Katherines parish church of Milford.
Milford at the time of your interest came under the parish of Steynton, so I looked at the Steynton burial register today whilst at the R.O. and found ;
John Watson of Milford buried 11 Nov 1842 aged 82 yrs
On various trips I have searched Steynton churchyard including the most difficult parts in the brambles(there are still some I havn't reached) and have not yet found any military headstones circa 1842.
Pembrokeshire Military headstones 1722 to 2008