I think this is the correct family; in 1900 James and Jennie are living in Cloud Chief, Washita, Oklahoma (right on the Texas border) with children James, Ralph, Lena, and Guy.Year: 1900; Census Place: Cloud Chief, Washita, Oklahoma; Page: 25; Enumeration District: 0207; FHL microfilm: 1241342
In 1920 they are living in Plainview, Texas with Gary (Guy), Victor, James, William, Ted, Clinton, and Mary. Year: 1920; Census Place: Plainview, Hale, Texas; Roll: T625_1808; Page: 1A; Enumeration District: 100
There are several Texas death certificates for their children: among them Victor, Ralph, Clinton, Guy, an Arizona death cert for Fred.
Clinton and Guy's death certificates give their mother's name as "Emily Jane McCaslin," so she may be the Emily Jane Cox buried in Plainview Cemetery, Hale County Texas, DOB 8 Nov 1870 DOD 27 Feb 1969.
You can write to the Oklahoma Historical Society for a copy of Jennie and James' marriage record. I couldn't find an image on FamilySearch, but the records have been microfilmed by the LDS so you might find it at a Family History center. Since she was of age it may not list her parents, but it should show what town or towns they were living in when they got married and you might get lucky with the parents.
It looks like Jennie died in Texas so you could get a copy of her death certificate which might also help.
Since Jennie is listed on every census as being born in Pennsylvania I would search for families named McCaslin or similar in the 1870 and 1880 censuses in Pennsylvania. Some midwestern states like Kansas conducted censuses on the 5's - so you might look for the family in places like Missouri or Kansas in 1885. Folks often lived in these states on their way west.
Jennie would have no connection to the Dawes Roll since she was not a member of any of the five tribes it covered.