After receiving @Colin's answer in Feb 2015 I looked quickly at FreeREG without success and then double-checked Ancestry.com to find:
Name: Margaret Morgan Gender: Female Baptism Date: 28 Aug 1808 Baptism Place: St James, Bristol, Gloucester, England Father: William Morgan Mother: Jane FHL Film Number: 1596534
I suspect that the reason I had not found it originally is that a new set of Gloucestershire Parish Registers came online in between but it is possible that I just missed them.