The Society of Genealogists Book, "My Ancestor was in The British Army" (Michael J Watts & Christopher Watts, 2009) refers to WO22 Pensions Returns (TNA Catalogue entry follows):
Title Royal Hospital Chelsea: Returns of Payment of Army and Other Pensions
Scope and content Periodical returns of pensions paid or payable by the Royal Hospital Chelsea, bound up in volumes and arranged under the various districts in the United Kingdom, Channel Islands, etc, and in India, the Colonies and certain foreign stations. They include returns of out-pensioners of Chelsea and Greenwich Hospitals, of those belonging to the East India Company, and of mercantile marine pensioners; also annual mortality returns showing the number of deaths at different ages.
In addition to the statistical information which these returns supply they are useful for tracing changes of residence and dates of death of individual pensioners.
Covering dates 1842-1883
The authors point out that while the period covered may not seem promising, survivors from earlier still being paid would get covered in here. The records are arranged by district. These are not records of every payment, but every time the rate changed for an ex-soldier in a district (including entering the district), an entry would be made in these.
However, the example shown in the book has no finer detail for residence other than the district.
The book says that "Prior to 1842 it would appear that soldiers' pensions were distributed by local officials; 1842 saw the institution of the army's own system of payments in 59 districts in England, 2 in Wales, 12 in Scotland and 33 in Ireland."
There's no further details on who these local officials were and it's probably significant that they use the phrase "it would appear". Given the purpose and coverage of the book, my guess is there's little or no survival of records from those officials.
It also mentions WO23/26 thru 65 "Admissions Registers of Chelsea Out-Pensioners". According to TNA, this is "Arranged by regiment and then, for admissions before the register was begun, by rate of pension, and for admissions after the register was begun, chronologically." While admissions start circa 1820, the book says that "earlier admissions have been copied in, presumably to make a current register of surviving pensioners." An example quoted in the text includes the residence, not just the (later) district.
Now, there's one big issue with what's written above - it refers only to Chelsea and not Kilmainham, its equivalent in Ireland. However - the distinction between the 2 is not as obvious as could be thought. Plenty of English soldiers were discharged via Kilmainham, and plenty of Irish via Chelsea. The choice was determined by whether their regiment was on the (mainland) British budget or the Irish. And after 1822 discharges of out-pensioners were only done through Chelsea. Does that mean WO23/26 thru 65 got the surviving Kilmainham out-pensioners? I've no idea.
Add to all this Fortiter's WO116 and 117 references.