Thomas of Jurby is in the IGI.

You will find him under Thomas Cavendish Curphey, bp 21 Sep 1845 at Jurby, s/o Ann

This indicates an illegitimacy.
The Father's name was probably Cavendish. There may be Court records around that time.

I would think that this is likely the Thomas who shows up in the UK in the later census.

Was there a second Ann Curphey who married a Thomas Cavendish in 1839 ?

There would appear to be several possible unmarried Ann Curpheys in the 1841 census to account for the illegitmacy.