The monumental inscription for the parents in Onchan mentions John/William Kelly Cain as having died in Chicago. I'm not sure if this is one or two people.
But at least it pinpoints "Chicago"
Onchan Monumental Inscriptions
1877 Yard
448 & 477 (Double)
In loving memory of Mary Anna Daughter of Thomas and Mary Catherine Cain born 31st Oct 1865 died 31st May 1866
also Alfred Walter fifth son on the above born 12th April 1864 died 30th May 1887
also Phoebe Elizabeth daughter of the above named died 11th Oct 1900 aged 24 years
also the above namedThomas Cain died 7th May 1901 aged 72 years
also the above Mary Catherine Cain died 10th Sept 1900 aged 78 years
also sons of the above interred in Smithtown Road Cemetery Liverpool Thomas A, George S also John/William Kelly Cain died in Chicago
Re-united Richard Cain OBE former MHK 1862-1963
Alfred third son and grandson of the above Harold Stanley Cain MHK CP April 23rd June 24th served HM Artillery 1914-1918 France, Prest WMAMMF Guild 1960-70 and RAMS

The 4th son, Richard, has monumental stone in Malew
Malew Monumental Inscriptions
B84-86
In loving memory of Harriet Georgina wife of Richard Cain who departed this life (suddenly) July 2nd 1919 aged 54 years
also richard Claude Cain DFC Capt RFC eldest son of the above who was killed whilst flying July 18th 1919 aged 28 years
also the above Richard Cain OBE Founder + President of The World Manx Association Member of the House of Keys for Ayre 1920-1934 Died Jan 2nd 1963 aged 100 years
Donna