What state was Jesse P's father born?

As I said most people list James Caudill Jr as Jesse P's father. We know from James affidavit to obtain a pension for his service in the War for Independence that he states he was born in Lunenburg Virginia. On the 1880 US Census shown below Jesse P's parents are both listed as being born in North Carolina. You always have to acknowledge that the census data might be inaccurate.