Since my last entry I posed my question to the PA ALLEGHENY COUNTY ROOTS WEB and a kind soul, Larry found them in the 1910 census.
Why I was wrong, John was listed as Robert. I do not know if he went by Robert or John, or John was someone else and I was chasing a wild goose with that name.
Anyway this is a great discovery. His wifes name was Olive. Olive and Robert were married in 1891. It appears that Robert was twenty five years older than Olive. There were four children listed, James b. 1894, Irene b. 1896, Mary 1900 (my grandmother in law) and Leonard b. 1903. The surprising thing was that I had not known about Leonard.
And on the 1900 census I also found them but the name was spelled Stevens instead of Stephens. 1900 listed the immigration year as 1862 and also in living with them was a brother James Stephens who was born in Kentucky.
Another person (Bev) on the Roots Web list had given suggestions on many sources to search and a third (Donna) suggested to contact the Genealogy Department of Salem OH, which is in Columbiana OH. That is close to Pittsburgh, so I think a day trip may be in order. Donna said that the library in Salem has a large Genealogy Department.
These ancestors are proving easy to find if you only know their names and where they live.