After a quick search, I couldn't locate his grave, either.
Have you checked this resource for Bell county cemeteries? http://cemeteries.txbell.net/
You might also try this: For information on patients or former patients write: Rusk State Hospital Attn: Medical Records P.O. Box 318, Hwy 69N Rusk, TX 75785.
George Russell Cunningham timeline:
Married - Idelia Ray in 1897, Delta county, Tx.
Residence - Delta county - 1900
Residence - Runnels county - 1910
Residence - Coleman county - 1920
Residence - Bell county - 1930
Residence - Rusk Hospital, Cherokee county - after 1930
Death - Rusk Hospital, Cherokee county - 1939
By 1940, Idelia moved on to Hunt county, Texas where she died in '45.
I'm speculating that upon George's death, the State paid to have his remains returned to the county of his last residence. In this case, it was Bell county. If they also paid for his internment, I suspect there wasn't an elaborate - much less permanent - grave marker placed on his grave. This could lead to the current difficulty in locating his grave 77 years after burial.
Hope this helps, and good luck.