William Hunter -- not Henderson, as is sometimes claimed -- Cavendish married Jane Murphy on 13 Jun 1780, probably in what was then Botetourt Co, Virginia, and now Greenbrier Co, West Virginia. I think this woman was mother of at least four of Wm's eight probable children. The reported ages of at least three of his children, though, suggest a previous marriage and, if your wife's Nancy was born in 1770, then she was likely a product of this earlier union.
It's claimed by some that Wm's first wife was Mary McCoy, widow of John Williams, killed in the Indian raid on Muddy Creek of 1763. They say Mary was taken captive and there is record of a Mary Williams, described as an old woman taken from the Greenbrier, that was released in 1765. So far as I can tell, the only identifiable source for this woman later marrying Cavendish is a McCoy researcher named, "Marilyn Schuelzky".
I know that the McCoys had early surveys on Sinking Creek, along with Thomas Williams and Lawrence Murphy -- said by some to be the first husband of Jane Murphy, above, who is further claimed to be a sister of Mary (McCoy) Williams Cavendish(?). But still, while perhaps plausible, I think hard evidence for the particulars seems thin on the ground and we really can't name Wm Cavendish's first wife with any confidence.
Take this for what you will, but I have doubts that Azariah Jenkins married Nancy Cavendish, too. There's a marriage bond held by the Greenbrier Historical Society for the proposed union of Azariah Jenkins and Anna Ford, dated 7 Feb 1791, with William Cavendish as surety. The Greenbrier marriage registry says that "Ezekiel Jenkins" was joined in matrimony to Anna Ford, 7 Feb 1791, by John Alderson. Despite the discrepancy, I believe that this is Azariah.
That same registry reports that Nancy Cavendish married William Hannah, 29 Dec 1827. I suspect that this is the Nancy named in the will of Wm H Cavendish.
Hope this helps.